Contents · 2021. 3. 1. · Collection of general information for the exercise. This includes quantitative and qualitative information related to the submission, the undertaking,

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NLCS 2020 – Log File A

Contents

1. INTRODUCTION ....................................................................................... 3

2. OVERVIEW TAB ....................................................................................... 4

2.1. LEGEND AND ABBREVIATIONS ..............................................................4

3. GENERAL TABS ...................................................................................... 5

3.1. GEN_VAL: GENERAL VALIDATION CHECKS ............................................5

3.2. GEN_INF: GENERAL INFORMATION ON SUBMISSION ..............................5

3.3. GEN_SEG: GENERAL SEGMENTATION ................................................. 20

3.4. GEN_COM: GENERAL COMMENT SECTION........................................... 40

4. QUANTITATIVE TABS ........................................................................... 41

4.1. QT_NL: OVERALL NON-LIFE UNDERWRITING RISK ............................... 42

4.2. QT_RR: QUANTITATIVE INFORMATION RESERVE RISK ......................... 43

4.3. QT_PR: QUANTITATIVE PREMIUM RISK (EXCL. EXPL. CAT RISK) ........... 47

4.4. QT_QL_CAT: QUANTITATIVE AND QUALITATIVE (EXPL.) CAT RISK ........ 51

4.5. QT_CS: QUANTITATIVE INFORMATION FOR CREDIT AND SURETYSHIP . 58

4.6. QT_CS_EX: QUANTITATIVE CREDIT AND SURETYSHIP EXPOSURE ....... 61

4.7. QT_COR_1: GROSS LINEAR OUTPUT CORRELATION OF THE SCR DISTRIBUTION (INTLOB & CAT PERIL) .................................................. 64

4.8. QT_COR_2: NET LINEAR OUTPUT CORRELATION OF THE SCR DISTRIBUTION (INTLOB & CAT PERIL) .................................................. 65

5. QUALITATIVE TABS (BY INTLOBS) ................................................... 65

5.1. QL_RR: QUALITATIVE INFORMATION RESERVE RISK............................ 65

5.2. QL_PR: QUALITATIVE INFORMATION PREMIUM RISK ............................ 70

5.3. QL_CS: QUALITATIVE INFORMATION C&S ............................................ 74

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List of tables Table 2: GEN_VAL_01_01 .....................................................................................................5 Table 3: GEN_INF_01_01.......................................................................................................5 Table 4: GEN_INF_01_02.......................................................................................................9 Table 5 : GEN overview........................................................................................................ 20 Table 6: GEN_SEG_01_01.................................................................................................... 20 Table 7: GEN_SEG_02_01.................................................................................................... 30 Table 8: GEN_SEG_03_01.................................................................................................... 37 Table 9: GEN_COM_01_01 .................................................................................................. 40 Table 10: QT_NL overview ................................................................................................... 42 Table 11: QT_NL shared (01_01 | 01_02 | 01_03 | 01_04 | 01_05 | 01_06) .................................... 42 Table 12: QT_RR overview ................................................................................................... 44 Table 13: QT_RR shared Gross/Net (01_01 | 01_02 | 01_03 | 02_01 | 02_02 | 02_03) ..................... 44 Table 14: QT_RR shared Net Disc. (02_01 | 02_02 | 02_03) ....................................................... 46 Table 15: QT_PR overview ................................................................................................... 47 Table 16: QT_PR shared Gross/Net (01_01 | 01_02 | 01_03 | 02_01 | 02_02 | 02_03)...................... 47 Table 17: QT_PR shared Net Disc. (02_01 | 02_02 | 02_03)........................................................ 50 Table 18: QT_QL_CAT overview .......................................................................................... 51 Table 19: QT_QL_CAT_01_01.............................................................................................. 52 Table 20: QT_QL_CAT_01_02.............................................................................................. 52 Table 21: QT_QL_CAT_01_03.............................................................................................. 52 Table 22: QT_QL_CAT shared (01_04 | 01_05 | 01_06) ............................................................ 52 Table 23: QT_QL_CAT shared (02_04 | 02_05 | 02_06) ............................................................ 55 Table 24: QT_QL_CAT shared (03_04 | 03_05 | 03_06) ............................................................ 56 Table 25: QT_CS overview ................................................................................................... 58 Table 26: QT_CS shared Gross/Net (01_01 | 01_02 | 01_03 | 02_01 | 02_02 | 02_03)...................... 59 Table 27: QT_CS shared Gross/Net (03_01 | 03_02 | 03_03 | 04_01 | 04_02 | 04_03)...................... 60 Table 28: QT_CS shared Gross/Net (05_01 | 05_02 | 05_03 | 06_01 | 06_02 | 06_03)...................... 61 Table 29: QT_CS_EX exposure classes ................................................................................... 62 Table 30: QT_CS_EX _01_01 (description of the rows)............................................................. 63 Table 31: QT_CS_EX _01_01 (description of the columns)........................................................ 63 Table 32: QT_COR_1 _01_01 ............................................................................................... 64 Table 33: QT_COR_2 _01_01 ............................................................................................... 65 Table 35: QL_RR 01_01 ....................................................................................................... 65 Table 36: QL_PR 01_01 ....................................................................................................... 70 Table 37: QL_CS 01_01 ....................................................................................................... 74

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1. Introduction

This NLCS_2020_LogFile_A presents the detailed technical specification for survey A of the NLCS

2020. As such, it is intended to be read in conjunction with

- NLCS_2020_Introduction (for general, high-level objectives and guidance) and - NLCS_2020_LogFile_B (for detailed scenario information)

In particular surveys A and B need to be filled consistently while recognising the gernal guidance of

the introduction.

Submission need to be consistent between suryey a survey B and the diversification exercise. For support on this please refer to NLCS_2020_Cross_Template Validation.

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2. OVERVIEW tab

The overview tab provides help to navigate the survey and provides a quick overview on the areas along

the lines of the Log File.

2.1. Legend and abbreviations

Please enter data in the template. The following colour code applies in the survey:

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3. General tabs

The general tabs collect general information on the submission as well as the undertaking (GEN_INF),

the segmentation of the LoBs (GEN_SEG) and an overview of the validation checks (GEN_VAL).

3.1. GEN_VAL: General Validation Checks

In order to ease the submission process, validation checks are implemented in the survey with

transparent formulas but are not documented. The participants are expected to review the outcomes of these checks.

Details on the validation checks performed can be found in the respective tabs of the submission.

However, participants remain responsible for the completion and quality of their submission.

Validation checks project the expectation of the NLCS PG towards the completion of the survey.

Compliance with these expectations will be used in the context of quality-control and acceptance process

of the submission.

Table 1: GEN_VAL_01_01

CODE ITEM INSTRUCTIONS

Errors: The general expectation is that these validations must be complied with. In exceptional circumstances, non-

compliance to some of the validations may be accepted: the participant is expected therefore to provide an appropriate justification/explanation provided that will be reviewed by both NCA and NLCS PG.

C0040 Undertaking comment Comment on the outcome of the validation checks and provide a concise explanation.

C0050 NCA comment Cell reserved to the NCA to provide further information on the provided comment.

C0060 NLCS PG comment Cell reserved to the NCS PG.

Warnings: The general expectation is that these validations should be complied with. There are however situations where it is

not possible. The participant is expected therefore to provide an appropriate justification/explanation provided that will be reviewed by both NCA and NLCS PG.

C0100 Undertaking comment Comment on the outcome of the validation checks and provide a concise explanation.

C0110 NCA comment Cell reserved to the NCA to provide further information on the provided comment.

C0120 NLCS PG comment Cell reserved to the NCS PG.

3.2. GEN_INF: General Information on Submission

Collection of general information for the exercise. This includes quantitative and qualitative information

related to the submission, the undertaking, changes (portfolio, model), SCR definition, risk emergence

and business mix.

This information will be used in the other tabs to differentiate between different model types. Data is

defined such that it can be compared across all model types. However not all information will be

requested to all undertakings.

This tab has two sub tables 01_01 and 01_02 that must be filled.

Table 2: GEN_INF_01_01

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Section: General submission information

R0010_C0010 Undertaking name -> as at YE 2020

The name of the undertaking at YE2020 (without legal suffixes like S.A., LTD., NV, A.S,…). For submissions prior to YE2020, please use the name at YE2020.

R0020_C0010 Undertaking identification code (Legal Entity Identifier - LEI) ->

as at YE 2020

LEI code of the undertaking at YE2020. For submissions prior to YE2020, please use the LEI code at YE2020.

R0030_C0010 Reporting Reference Date Reference date of the submitted data. Format DD/MM/YYYY

R0040_C0010 Submission date to NCA Date when the template is sent to the NCA by the undertaking.

Format DD/MM/YYYY.

R0050_C0010 Submission date to NLCS PG Date when the template is sent to the NLCS PG by the NCA Format

DD/MM/YYYY

R0060_C0010 Country of authorisation Country of authorisation of the undertaking. Select the country

from the closed list: - AT – Austria

- BE – Belgium - BG – Bulgaria

- HR – Croatia - CZ – Czech Republic - DK – Denmark

- EE – Estonia - FI – Finland - FR – France

- DE – Germany - EL – Greece

- HU – Hungary - IS – Iceland - IE – Ireland

- IT – Italy - LT – Lithuania - LI – Liechtenstein

- LV – Latvia - LU – Luxembourg

- MT – Malta - NL – Netherlands - NO – Norway

- PL – Poland - PT – Portugal - RO – Romania

- SK – Slovakia - SL – Slovenia

- ES – Spain - SE – Sweden - UK – United Kingdom

- XX – Other (Select this option if none of the above countries is suitable. Provide a comment in cell R0060_C0020)

R0060_C0020 Additional comment opportunity (as needed)

Field to provide comments for cell R0060_C0010.

R0070_C0010 Reporting YEAR END Year of reporting date. Options from a closed list: - 2016

- 2017 - 2018

- 2019 - 2020

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R0080_C0010 Undertaking name -> as at reporting year

The name of the undertaking at reporting date (without legal suffixes like S.A., LTD., NV, A.S,…) as defined in cell

R0030_C0010.

R0090_C0010 Undertaking identification code

(Legal Entity Identifier - LEI) -> as at reporting year

LEI code of the undertaking at reporting date as defined in cell

R0030_C0010.

R0100_C0010 Please explain organisational changes, which may be relevant

for the NLCS which have

incurred since last submission

Explain organisational changes that have an impact on Non-Life underwriting risk models (input, modelling choices, outcomes) since the last submission. Organisational changes can be transfer of

responsibilities, change in the organigram, changes of governance principles and approach and etc. The relevant organisational changes can take place at solo level but also at group level (and

should be also reported). As practical examples, (de)centralisation of the risk management function to (from) the group.

Section Changes since last reporting year (Year on year changes)

R0110_C0010 Have you introduced model changes since last submission, which are in the perimeter of

(have an effect on/are related to) Non-Life underwriting risk?

Provide the category of model changes according to your model change policy applicable at reporting date since the last submission. Select the most suitable options from a closed list:

- Major Model changes: One or more major model change

- Minor Model changes: One or more minor model change - Major and Minor Model changes: One or more minor model

change and one or more major model change.

- No Model Changes For minor changes, consider them as one aggregate.


Field to provide comments for cell R0110_C0010

R0120_C0010 Please specify the model change impact on the overall NL UW

Risk

Please choose from the options of the closed list to indicate how the changes in modelled risk profile are influenced by model changes.

Use as reference point last year’s submission before the introduction of the model changes.

- High – To understand the change from last year to this year it

is crucial to understand in detail the model changes introduced

in this year’s submission. Your change in overall result (Premium Risk, Reserve Risk and Cat Risk) are driven by model changes. Please provide detailed additional comments

at least detailing the changes introduced (e.g. in level and dynamic).

- Medium – To understand the change from last year to this year it is necessary to be familiar with the model changes. Your change in overall result (Premium Risk, Reserve Risk and Cat

Risk) is driven by a combination of portfolio and model changes. Please provide additional comments detailing the main changes introduced (e.g. in level and dynamic).

- Low – To understand the change from last year to this year it is not necessary to look into details of the model changes. Your

change in overall result (Premium Risk, Reserve Risk and Cat Risk) is mainly driven by portfolio changes.

- None – You have not introduced model changes, which impact

your overall results (e.g. no model changes, new governance tools, it is the first year of the internal model, you do not have an internal model)

This question covers overall changes for overall NL UW risk.

Specific attribution of changes for Premium, Reserve and CAT are asked in a dedicated cell in table 01_02 of GEN_SEG tab.

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For minor changes, consider them as one aggregate.



R0130_C0010 Please list major model changes for NL UW Risk since last annual

submission and provide a short description of the impact on

model dynamic and outcome by

model change

Provide the list of major model changes for Non-Life Underwriting Risk according to your model change policy applicable at reporting

date since the last submission. For each major model change of the list, provide a short description of its impact on the model as well as its impact on the changed model component.

Specific attribution of changes for Premium, Reserve and CAT are asked in a dedicated cell in table 01_02 of GEN_SEG tab.

R0140_C0010 Have you experienced since last submission in-organic business

development

Select the option is most suitable for in-organic business development (as opposed to the natural increase/decrease in the

company's own business activity). Options from a closed list:

- Merger – The company has merged into one (or more) other. - Acquisition – The company has acquired one (or more) other. - Merger and Acquisition – The company has acquired one (or

more) other and has merged into one (or more) other. - Portfolio transfer accepted – The company has acquired a

portfolio from one other.

- Portfolio transferred – The company has ceded a part of its portfolio.

- No inorganic transaction – None of the above operations have been performed. Business development is attributable to organic growth.

- Other – The above choices are not adapted to describe the in-organic business development. Provide comment in field R0140_C0020.

The counterpart of the operations can be external and/or within the group.



R0150_C0010 Please describe in short the strategic intention of the in-

organic business development

actions and their impact

If one or more in-organic business development have occurred since the last submission, then provide a concise explanation of the underlying strategic intention and their impact.

R0160_C0010 Please provide a rationale for the

overall development of the modelled risk profile since the last

annual submission as far as it is

relevant for Non-Life underwriting risk

Provide a concise explanation for overall development of the

modelled risk profile since the last submission. The comment has to be relevant for the NLCS study, i.e. to understand the Non-Life underwriting risk.

R0170_C0010 Please provide a rationale for the overall development in the

economic balance sheet position relevant for Non-Life

underwriting risk since last annual

submission

Provide a concise explanation for the overall changes since the last submission in the economic balance sheet position

R0180_C0010 How severe are your changes to

your business strategy since the last annual submission

Please choose from the options of the closed list to indicate how the

changes in modelled risk profile are influenced by changes in your business strategy. Use as reference point last year’s submission before the introduction of changes in business strategy.

- High – To understand the change from last year to this year it

is crucial to understand in detail the business strategy changes introduced in this year’s submission. Your change in overall

,

result (Premium Risk, Reserve Risk and Cat Risk) are driven by business strategy changes. Please provide detailed

additional comments at least detailing the changes introduced (e.g. in level and dynamic).

- Medium – To understand the change from last year to this year

it is necessary to be familiar with the business strategy changes. Your change in overall result (Premium Risk, Reserve Risk and Cat Risk) is driven by a combination of portfolio and

business strategy changes. Please provide additional comments detailing the main changes introduced (e.g. in level and

dynamic). - Low – To understand the change from last year to this year it

is not necessary to look into details of the business strategy

changes. Your change in overall result (Premium Risk, Reserve Risk and Cat Risk) is mainly driven by portfolio changes.

- None – You have not changed signifficant business strategy changes, which impact your overall results (e.g. no model

changes, new governance tools, it is the first year of the internal model, you do not have an internal model)

This question covers overall changes for overall NL UW risk. Specific changes for Premium, Reserve and CAT are asked in a dedicated cell in table 01_02 of GEN_SEG tab.

For minor changes, consider them as one aggregate.



R0190_C0010 Please explain major changes in your business strategy impacting

your business

Please provide a concise explanation on the impact of business strategy impacting business (e.g. underwriting).

R0200_C0010 With respect to the modelled

business, please describe how the overall EXISTING business may

has changed compared to last

submission

Please provide a concise explanation on how the modelling of

EXISTING businesses has changed since the last submission.

R0210_C0010 With respect to the modelled

business, please describe how the overall NEW business may has

changed compared to last

submission

Please provide a concise explanation on how the modelling of

NEW businesses has changed since the sat submission.

Table 3: GEN_INF_01_02

01_02: TABLE


Subsections Premium Risk, Reserve Risk and Cat Risk These subsections are grouped because of their similarity

R0010_C0010, R0010_C0030, R0010_C0050

Please specify the model change impact on the overall Risk

Category

Please choose from the options of the closed list to indicate how the changes in modelled risk profile are influenced by model changes for the risk category. Use as reference point last year’s submission

before the introduction of the model changes.

- High – To understand the change from last year to this year it is crucial to understand in detail the model changes introduced in this year’s submission. Your change in result for the risk

category (Premium Risk, Reserve Risk and Cat Risk) are driven by model changes. Please provide detailed additional

,

comments at least detailing the changes introduced (e.g. in level and dynamic).

- Medium – To understand the change from last year to this year it is necessary to be familiar with the model changes. Your change in result for the risk category (Premium Risk, Reserve

Risk and Cat Risk) is driven by a combination of portfolio and model changes. Please provide additional comments detailing the main changes introduced (e.g. in level and dynamic).

- Low – To understand the change from last year to this year it is not necessary to look into details of the model changes. Your

change in result for the risk category (Premium Risk, Reserve Risk and Cat Risk) is mainly driven by portfolio changes.

- None – You have not introduced model changes, which impact

your results for the risk category (e.g. no model changes, new governance tools, it is the first year of the internal model, you do not have an internal model)

This question covers changes for NL UW risk for the specific risk

category (Premium, Reserve or Cat). Overall changes are asked in a dedicated cell in table 01_01 of GEN_SEG tab.

R0010_C0020, R0010_C0040, R0010_C0060

Additional comment opportunity (as needed)

Field to provide comments for cell R0010_C0010, R0010_C0030, R0010_C0050.

R0020_C0010, R0020_C0030,

R0020_C0050

Please list major model changes impacting Risk Category since

last annual submission and provide a short description of the

impact on model dynamic

Provide the list of major model changes for specific to the Risk Category (namely Reserve, Premium or CAT Risk) according to

your model change policy applicable at reporting date since the last submission. For each major model change of the list, provide a short description of its impact on the model as well as its impact on the

changed model component.

Overall changes for Non-Life Underwriting Risk are asked in a dedicated cell in table 01_01 in GEN_SEG tab.

R0030_C0010, R0030_C0030, R0030_C0050

How severe are your changes to your overall NL UW Risk

reinsurance structure

Choose from the options of the closed lis t to indicate the changes in reinsurance structure influence the gross to net results for relevant risk category (Reserve, Premium and CAT risk). Options

from a closed list: - High – To understand the change in the gross to net results

from last year to this year in the risk category, it is crucial to understand in detail the changes in the reinsurance structure

introduced during this year’s submission. Please provide additional comments detailing the main changes introduced.

- Medium – To understand the change in the gross to net results

from last year to this year in the risk category, it is necessary to be familiar the changes in the reinsurance structure introduced during this year’s submission. Please provide

additional comments detailing the main changes introduced. - Low – To understand the change in the gross to net results from

last year to this year in the risk category, it is not necessary to look into details of the reinsurance structure. Your change in gross to net result is mainly driven by portfolio changes.

- None – You have not introduced changes in the reinsurance structure, which impact your results

R0030_C0020, R0030_C0040,

R0030_C0060



R0040_C0010,

R0040_C0030, R0040_C0050

Please explain major changes in

your overall reinsurance structure

Provide a concise explanation to understand relevant the gross to

net evolution and its changes since the last submission. Focus on major changes.

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R0050_C0010, R0050_C0030,

R0050_C0050

Short description of SCR risk measure used

Describe the way in which the Internal Model SCR risk measure is derived.

As orientation: Article 297 (4) of the Delegated Regulation for the

SFCR inter alia requests to cover: (d) a description of the methods used in the internal model; (e) an explanation, by risk module, of the main differences in the methodologies and underlying

assumptions used in the standard formula and in the internal model; (f) the risk measure and time period used in the internal model, and where they are not the same as those set out in Article 101(3) of

Directive 2009/138/EC, an explanation of why the Solvency Capital Requirement calculated using the internal model provides

policy holders and beneficiaries with a level of protection equivalent to that set out in Article 101 of that Directive.

The description here should be concise and on expert level.

R0060_C0010, R0060_C0030, R0060_C0050

Does your SCR definition use going concern of

[S2 Directive Article 101 (2)]

Options from a closed list: - Going-concern – The SCR is computed on a going concern

basis, as in S2 Directive Article 101 (2). - Run-off – The SCR is computed with a run-off assumption, i.e.

no new business are written and the undertaking honours only liabilities from existing contracts.

- Other – Other hypothesis are used in the computation of the

SCR. Provide a comment.

R0060_C0020,

R0060_C0040, R0060_C0060

Additional comment opportunity

(as needed)

Field to provide comments for cell R0060_C0010, R0060_C0030,

R0060_C0050.

R0070_C0010, R0070_C0030, R0070_C0050

Does your SCR definition consider existing business, as well as the new business expected to

be written over the following 12 months


Explain how the existing and new businesses are considered in the definition of the SCR. Options from a closed list:

- Existing business – Only existing businesses at reporting date are considered.

- New business expected to be written over the following 12 months - Only new businesses expected to be written over the following 12 months from reporting date are considered.

- Existing business, as well as the new business expected to be written over the following 12 months – Both existing businesses at reporting date and new businesses expected to be

written over the following 12 months from reporting date are considered.

- Other – The above categories are not suitable. Provide a comment.

R0070_C0020, R0070_C0040,

R0070_C0060



R0080_C0010,

R0080_C0030, R0080_C0050

Does your SCR definition

consider with respect to existing business, it shall cover only

unexpected losses


Explain how the unexpected losses arise from. Options from a

closed list: - Existing business shall cover only unexpected losses – The

unexpected losses come uniquely from existing business.

,

- Future business shall cover only unexpected losses– The unexpected losses come uniquely from new business (expected

to be written over the following 12 months). - Existing and future business shall cover only unexpected losses

– The unexpected losses come both from existing and new

business (expected to be written over the following 12 months).

- Other – The above categories are not suitable. Provide a

comment.

R0080_C0020, R0080_C0040,

R0080_C0060



R0090_C0010,

R0090_C0030, R0090_C0050

Does your SCR definition

consider Value-at-Risk of the basic own funds of an insurance

or reinsurance undertaking

subject to a confidence level of 99,5 % over a one-year period [S2 Directive Article 101 (3)]

Explain the which risk measure is used for the computation of the

SCR. Options from a closed list: - VaR 99,5 % one-year – The Value at risk at 99.5% level is

computed using a centered Profit and loss distribution at one year horizon.

- VaR – The Value at risk is computed using a centered Profit

and loss distribution (with a different quantile than 99.5%). - 99,5 % – The 99.5% quantile of the Profit and Loss is used.

- 99.5% one-year – The 99.5% quantile of the Profit and Loss at one year horizon is used.

- VaR 99,5 % – The Value at risk at 99.5% level is computed

using a centered Profit and loss distribution. - VaR one-year – The Value at risk is computed using a centered

Profit and loss distribution at one year horizon (with a different

quantile than 99.5%). - Other – The risk measure does not fit in any of these categories.

Provide a comment.

R0090_C0020, R0090_C0040, R0090_C0060


Field to provide comments for cells R0090_C0010, R0090_C0030, and R0090_C0050.

R0100_C0010, R0100_C0030,

R0100_C0050

Does your SCR definition stick to the S2 definition of risk

categories [S2 Directive Article 101 (4)]

The SCR calculation is based on the risk categories as defined in the Article 101(4). Options from a closed list:

- S2 definition of risk categories used – The SCR calculation

uses the S2 risk categories (with possible adaptations). As a

consequence, it is possible to value the SCR corresponding to each category of the S2 definition, although their perimeter

might differ from S2. - Deviation from S2 definition of risk categories – The SCR

calculation is not based on the S2 risk categories. As a

consequence, it is not possible to value the SCR corresponding to each category.

- Other – The SCR calculation does not fit in any of these categories. Provide a comment..

R0100_C0020, R0100_C0040, R0100_C0060



R0110_C0010, R0110_C0030,

R0110_C0050

Does your SCR definition use risk mitigation techniques and

considers credit risk [S2 Directive Article 101 (4)]

Explain how the SCR computation considers risk mitigation techniques and/or credit risk. Select the most appropriate option

from a closed list: - Risk mitigation techniques and considers credit risk – The SCR

calculation considers risk mitigation techniques as well as credit risk. Provide a brief description in the next cell.

,

- Risk mitigation techniques – The SCR calculation considers only risk mitigation techniques. Provide a brief description in

the next cell. - Credit risk – The SCR calculation considers only credit risk.

Provide a brief description in the next cell.

- Other – None of the option is suitable. Provide a comment in the next cell.

Risk mitigation and credit risk are defined in the S2 directive as: - ‘credit risk’ means the risk of loss or of adverse change in the

financial situation, resulting from fluctuations in the credit standing of issuers of securities, counterparties and any debtors to which insurance and reinsurance undertakings are exposed,

in the form of counterparty default risk, or spread risk, or market risk concentrations;

- ‘risk-mitigation techniques’ means all techniques which enable

insurance and reinsurance undertakings to transfer part or all of their risks to another party;

R0110_C0020, R0110_C0040,

R0110_C0060



R0120_C0010,

R0120_C0030, R0120_C0050

Non-Life Underwriting Risk is

modelled on AY or UY basis? (If you selected ""Other"" please provide additional information in

the comment field) Please provide the rationale for

your modelling choice

Select the option which describes which basis is used for modelling

Non-Life Underwriting risk: - UY– Underwriting year (or policy year)

- AY– Accident Year - Other –Please provide comment in the next cell.

For a definition of terms please refer to the introduction section on Underwriting and accident years.

R0120_C0020,

R0120_C0040, R0120_C0060


(as needed)


R0120_C0050.

R0130_C0030 If your model is based on UY, are you able to split between the earned reserve risk and the

unearned reserve risk?

Select the option from closed list to understand if there is a split between earned and unearned reserve risk, provided that modelling basis is on Underwriting Year:

- Yes: You are able to split between the earned reserve risk and

the unearned reserve risk – The model is based on

Underwriting Year and there is a split between earned and unearned reserve risk.

- No: You are not able to split between the earned reserve risk and the unearned reserve risk – The model is based on Underwriting Year and there is no split between earned and

unearned reserve risk. - No UY modelling – The model is not based on Underwriting

Year

- Other (Please comment) – The above categories are not adapted. Please provide a comment in the next cell.


R0130_C0040, Additional comment opportunity

(as needed)


R0140_C0010,

R0140_C0050

If your model is based on UY, do

you model the BBNI at t = 0 within your unearned reserve

risk?

Select the option from closed list to understand the modelling of

Bound But Not Incepted (BBNI), provided that modelling basis is on Underwriting Year:

,

- Yes: You model the BBNI at t = 0 within your unearned reserve risk – The model is based on Underwriting Year and takes into

account the BBNI at reporting date. - No: You do not model the BBNI at t = 0 within your unearned

reserve risk – The model is based on Underwriting Year and

does not take into account the BBNI at reporting date. - No UY modelling – The model is not based on Underwriting

Year.

- Other (Please comment) – The above categories are not adapted. Please provide a comment in the next cell.


R0140_C0020,

R0140_C0060


(as needed)

Field to provide comments for cell R0140_C0010 and

R0140_C0050

R0150_C0010 If your model is based on AY, is

the variation of the Unearned Premium Reserve modelled?

Select the option from closed list to understand the modelling of

Unearned Premium Reserve, provided that modelling basis is on Accident Year:

- Yes: The variation of the Unearned Premium Reserve is modelled – The model is based on Accident Year and takes

into account the variation of Unearned Premium Reserve. - No: The variation of the Unearned Premium Reserve is not

modelled – The model is based on Accident Year and does not

take into account the variation of Unearned Premium Reserve. - No AY modelling – The model is not based on Accident Year. - Other (Please comment) – The above categories are not

adapted. Please provide a comment in the next cell.




R0160_C0010, R0160_C0050

If your model is based on AY, is the variation of the BBNI

modelled?

Select the option from closed list to understand the modelling of Bound But Not Incepted (BBNI), provided that modelling basis is

on Accident Year: - Yes: Variation of the BBNI is modelled – The model is based

on Accident Year and takes into account the variation of the BBNI

- No: Variation of the BBNI is not modelled – The model is based on Accident Year and does not take into account the variation of the BBNI

- No AY modelling – The model is not based on Accident Year. - Other (Please comment) – The above categories are not

adapted. Please provide a comment in the next cell.

For a definition of terms please refer to the introduction section on

Underwriting and accident years.

R0160_C0020,

R0160_C0060


(as needed)

Field to provide comments for cell R0160_C0010 and

R0160_C0050

R0170_C0010,

R0170_C0030, R0170_C0050

Is SCR risk measure centred? Select the option from closed list to understand if the risk measure

is based on centred or not. The measure is centred if the expected results are removed from the profit and loss distribution, i.e. its

mean is null:

,

- Risk measure is centred – The SCR is measured as deviation from the expected result (Centred risk).

- Risk measure is not centred – The SCR is measured as deviation from zero (Non-centred risk)..

- Other (please explain) – More complex adjustments are

applied to the profit and loss distribution than a shift with the expected results. Please provide comment in the next cell

R0170_C0020, R0170_C0040,

R0170_C0060



Section COVID-19 for 2020 only

Subsections Premium Risk, Reserve Risk and Cat Risk

These subsections are grouped because of their similarity

R0180_C0010,

R0180_C0030, R0180_C0050

How was COVID-19 generally

covered in your contracts up to (including) 2020

Options from a closed list:

- COVID-19 covered explicitly – The contractual rules up to

YE20 explicitly covered pandemic, administrative lockdowns,

business interruptions and therefore the losses of COVID-19 are covered.

- COVID-19 covered silently – The contractual rules up to YE20 implicitly covered pandemic, administrative lockdowns, business interruptions and therefore the losses of COVID-19

are covered. - COVID-19 not covered explicitly – The contractual rules up to

YE20 explicitly excluded pandemic, administrative

lockdowns, business interruptions and therefore the losses of COVID-19 are not covered.

- COVID-19 not covered silently – The contractual rules up to YE20 implicitly excluded pandemic, administrative lockdowns, business interruptions and therefore the losses of

COVID-19 are not covered. If several cases are present within the IntLoB, select the category

more dominant and provide comments (proportions) in the comment cell

For submissions prior to YE2020, leave the cell empty.

R0180_C0020, R0180_C0040, R0180_C0060




R0190_C0010,

R0190_C0030, R0190_C0050

How will COVID-19 generally be

covered in your contracts in 2021


- COVID-19 covered explicitly – The contractual rules from

YE21 will explicitly cover pandemic, administrative

lockdowns, business interruptions and therefore the losses of COVID-19 will be covered.

- COVID-19 covered silently – The contractual rules from YE21 will implicitly cover pandemic, administrative lockdowns, business interruptions and therefore the losses of COVID-19

will be covered. - COVID-19 not covered explicitly – The contractual rules from

YE21 will explicitly exclude pandemic, administrative

lockdowns, business interruptions and therefore the losses of COVID-19 will not be covered.

- COVID-19 not covered silently – The contractual rules from YE21 will implicitly exclude pandemic, administrative

,

lockdowns, business interruptions and therefore the losses of COVID-19 will not be covered.

If several cases are present within the IntLoB, select the category more dominant and provide comments (proportions) in the

comment cell For submissions prior to YE2020, leave the cell empty.

R0190_C0020, R0190_C0040,

R0190_C0060




R0200_C0010, R0200_C0030,

R0200_C0050

Did your undertaking receive State-Support during the COVID-

19 Crisis, which is reflected in your balance sheet YE2020


- Gross result impacted by state support (and consecutively the net result) – The state support has an impact on the gross (therefore on the net) that is reflected in the balance sheet at

YE20. - Reinsurance result impacted by state support (and

consecutively the net result) – The state support has an impact

on the reinsurance (therefore on the net) that is reflected in the balance sheet at YE20.

- Technical result not affected by state support (however additional funds are available) – The state support has no impact that is reflected in the balance sheet at YE20 but

additional funds are available. - Other impact of state support – The state support has other

impact on the balance sheet. Provide comment in the next cell.

- No State support For submissions prior to YE2020, leave the cell empty. For submissions at YE2020, this question is mandatory for undertaking filling tabs related to credit and suretyship (QT_CS, QT_CS_EX,

QL_CS) and optional for other undertakings.

R0200_C0020,

R0200_C0040, R0200_C0060


(as needed)


R0200_C0050. For submissions prior to YE2020, leave the cell empty. For

submissions at YE20, this question is mandatory for undertaking filling tabs related to credit and suretyship (QT_CS, QT_CS_EX,

QL_CS) and optional for other undertakings.

R0210_C0010,

R0210_C0030, R0210_C0050

Did your undertaking receive

State-Support during the COVID-19 Crisis, which is reflected in

your SCR calculation of YE2020


- Gross result impacted by state support (and consecutively the

net result) – The state support has an impact on the gross

(therefore on the net) SCR at YE20. - Reinsurance result impacted by state support (and

consecutively the net result) – The state support has an impact

on the reinsurance (therefore on the net) that is reflected in the net SCR at YE20.

- Technical result not affected by state support (however additional funds are available) – The state support has no impact on the gross and net SCR at YE20 but additional funds

are available. - Other impact of state support – The state support has other

impact on the SCR. Provide comment in the next cell

- No State support

For submissions prior to YE2020, leave the cell empty. For submissions at YE20, this question is mandatory for undertaking

,

filling tabs related to credit and suretyship (QT_CS, QT_CS_EX, QL_CS) and optional for other undertakings.

R0210_C0020, R0210_C0040,

R0210_C0060



For submissions prior to YE2020, leave the cell empty. For submissions at YE20, this question is mandatory for undertaking

filling tabs related to credit and suretyship (QT_CS, QT_CS_EX, QL_CS) and optional for other undertakings.

R0220_C0010, R0220_C0030, R0220_C0050

In case you have received state support please describe the

agreement and its impact, which

are relevant (to judge its impact on NL UW Risk, PR, RR and Cat

Risk)

Provide a concise explanation on the received state support (if applicable) and elements to assess its impact its impact on NL UW Risk (overall, PR, RR and Cat Risk)

For submissions prior to YE2020, leave the cell empty. For

submissions at YE20, this question is mandatory for undertaking filling tabs related to credit and suretyship (QT_CS, QT_CS_EX, QL_CS) and optional for other undertakings.

R0230_C0010, R0230_C0030,

R0230_C0050

Has COVID-19 triggered changes in the overall modelling of the

internal model


- Changes are available in the IM – The COVID-19 and its aftermath have triggered changes in the model that are already implemented, operational and used.

- Changes are in the pipeline – The COVID-19 and its aftermath have triggered changes in the model but they are not

implemented or operational or used. - Some changes are available and some in the pipeline – The

COVID-19 and its aftermath have triggered changes in the

model and only a portion of them are implemented, operational and used.

- No changes made linked to COVID-19 – There is no intention

to change the model in light of the COVID-19 and its aftermath.

When answering to this question, exclude calibration settings, that are in scope of the next question


R0230_C0020, R0230_C0040, R0230_C0060



R0240_C0010, R0240_C0030,

R0240_C0050

Impact in the calibration settings due to COVID-19


- Changes are available in the IM – The COVID-19 and its aftermath have triggered changes in the calibration settings that

are already implemented, operational and used. - Changes are in the pipeline – The COVID-19 and its aftermath

have triggered changes in the calibration settings but they are

not implemented or operational or used. - Some changes are available and some in the pipeline – The

COVID-19 and its aftermath have triggered changes in the

calibration settings and only a portion of them are implemented, operational and used.

- No changes made linked to COVID-19 – There is no intention

to change the calibration settings in light of the COVID-19 and its aftermath.


R0240_C0020, R0240_C0040, R0240_C0060



,


R0250_C0010, R0250_C0030, R0250_C0050

What do you see as the main difference on the P&L differences

between YE19 and YE20, and

how material Is this difference?

Provide further information to understand the difference between P&L at YE19 and YE20.


Section Risk Emergence & time horizon

Subsections Premium Risk, Reserve Risk and Cat Risk

These subsections are grouped because of their similarity

R0260_C0010,

R0260_C0030, R0260_C0050

Please provide the rationale of

your modelling choice of Risk Emergence

Explain the reasons behind the choice of the time horizon in your

model.

R0270_C0010, R0270_C0030,

R0270_C0050

Do you model your risk capital based on a 1-year view directly or

on an ultimate view? Please provide the rationale for



- 1Y View directly – the whole model is based and calibrated on the risk born by the following year.

- Ultimate view only – the whole model is based and calibrated

on the total risk, until extinction of all liabilities. - 1Y view from an ultimate view using an emergence factor –

the model uses a 1Y risk distribution that is estimated using the

ultimate risk distribution. It uses one or several parameters called emergence factors that represent the ratio of 1Y and

ultimate volatilities of a given stochastic process. The precise specifications of the emergence factors and how it is used may differ between undertakings.

- Other (explain) – e.g. 1Y risk is assessed from ultimate risk using another technique, the time horizon is an intermediate view between 1Y and ultimate.

R0270_C0020,

R0270_C0040, R0270_C0060


(as needed)


R0270_C0050.

R0280_C0010, R0280_C0030,

R0280_C0050

(If relevant) How is the emergence factor applied (to the

losses)? Please provide the rationale for



- To shrink the centred distribution: L_1Y = EF * (L_Ult - E[L_Ult]) + E[L_Ult] – This method rescales the whole distribution keeping its mean.

- To shrink the non-centred distribution: L_1Y = EF * L_Ult – This method rescales the whole distribution and its mean.

- To shrink the non-paid part of the claims: L_1yr = PP * L_Ult

+ EF * (1 - PP) * L_Ult – The difference between 1yr risk and ultimate risk is in the unpaid claims after one year. In an

ultimate view, they are viewed as future payments while in the 1yr view, they are modelled as reserves for those payments. The reserves are less volatile than the underlying payments.

- To shrink the SCR: SCR_1Y = EF * SCR_Ult – The retained SCR is directly derived from the ultimate SCR. Depends on your own definition of the SCR.

- Other (explain) – Any other method. If yours is close but different from one above, please select that method and

describe the differences below. Common definitions:

EF: emergence factor E[...]: mathematical expectation. L_1yr: random variable representing the losses as used in the SCR

definition. L_Ult: random variable representing the total losses (after an infinite amount of time). The precise definition of "losses" is here

coherent with your definition of SCR.

,

PP: first year of payment pattern, i.e. proportion of the total claims that you expect to be paid during the first year.

SCR: your own definition of SCR for that particular LoB (with a 1yr view or ultimate view).

R0280_C0020, R0280_C0040, R0280_C0060



R0290_C0010, R0290_C0030,

R0290_C0050

(If relevant) How is the emergence factor calculated?

Please provide the rationale for your modelling choice


- Actuary-in-a-box on the whole reserve triangle - "Merz-Wüthrich / Mack" on the whole reserve triangle - Actuary-in-a-box on the last line of the reserve triangle

- "Merz-Wüthrich / Mack" on the last line of the reserve triangle - Other (explain)

Common definitions: Actuary-in-a-box: projection of the reserve triangles both on 1yr

and ultimate. Merz-Wüthrich/Mack: closed formulae to compute the 1yr and ultimate volatility.

Whole reserve triangle: the EF would be the ratio of the volatilities (1yr/Ultimate) of the whole reserve.

Last line of the reserve triangle: the EF would be the ratio of the volatilities (1yr/ultimate) of the last line of the reserve triangle.

R0290_C0020, R0290_C0040, R0290_C0060


Field to provide comments for cell R0290_C0010, R0290_C0030, R0290_C0050

Section Business Mix


R0300_C0010,

R0300_C0030, R0300_C0050

Does your IntLoB structure allow

to map easily your Motor exposure according to the S2LoB

structure? Please specify the main reason:


- Yes: This the prevailing modelling choice in the Internal

Model. - Yes: The product is sold on a comprehensive basis (i.e. a single

premium is charged for the policy).

- Yes: Other, please specify – Provide comment in the next cell. - No: It is not possible to split – Provide comment in the next

cell.

R0300_C0020,

R0300_C0040, R0300_C0060


(as needed)


R0300_C0050.

R0310_C0010, R0310_C0030,

R0310_C0050

Does your IntLoB structure allow you to split your Motor business

according to the size of claims (Attritional, Large, Cat)?


- Yes – It is possible to split according to the size of claims. Provide indications on the threshold in the next cell.

- No – It is not possible to split according to the size of claims.

Provide a concise explanation in the next cell. - Other (Please comment) – Provide comment in the next cell.

R0310_C0020, R0310_C0040,

R0310_C0060



,

3.3. GEN_SEG: General segmentation

Collection of the segmentation of the IntLoBs for premium risk, reserve risk and Cat risk. The

undertaking shall provide information on their IntLoBs (in the dedicated tabs for Reserve, Premium and CAT risk) and answer to the quantitative and qualitative questions.

These tabs needs to be filled before:

- the quantitative tabs: QT_RR_, QT_PR_, QT_QL_CAT, QT_CS_, QT_COR_1, QT_COR_2,

QT_COR_3 as well as - the qualitative tabs: QL_RR_, QL_PR_ and QL_CS_. In fact, the rows of all these tables are IntLoBs

that are specified in GEN_SEG.

Table 4 : GEN overview

Gross &

net of

reinsurance

Reserve Risk 01_01

Premium Risk 01_02

CAT Risk 01_03 This is a central tab for the NLCS as it sets the structure for a number of other tabs by seting out and defining

IntLoBs and Perils. By experience of the last NLCS edition most IntLobs/Perils relate to one S2LoB or Peril. There are however notable exceptions where this is not the case or where a standard breakdown is not forseen in the IM.

Should there be an IntLoB/Peril which maps to two or mulptiple S2Lobs/Perils the following is expected.

- Splitting: Report the IntLoB/Peril multiple times with the respective proportions (Prefered) - Attributing: Report the Int LoB/Peril once for the dominant S2LoB/Peril

In any case use the comment field and detail which option was taken in the segmentation. All IntLobs and Perils contributing to the overall NL UW Risk need to be listed here and filled consecutively as

information is available. This includes LoBs being still on a SF or USP approach.

Table 5: GEN_SEG_01_01 CODE ITEM INSTRUCTIONS

C0010 IntLoB Name of the IntLoB used by the undertaking.

Please add to the IntLoB name you are internally using the repective S2LoB number(s) separated by “_” in case you are splitting or

attributing to one S2LoB.

Section: Solvency 2

C0020 IM Coverage Please describe the calculation methodology of the IntLoB. Select

options from a closed list: - IM Calculation: The IntLoB is in scope of the internal model.

- USP Calculation (Except in Cat): The IntLoB is computed with Undertaking Specific Parameters (or Group Specific Parameters, if applicable)

- SF Calculation: The IntLoB is valued with the Standard Formula

- Other: None of the above methods is applicable. Please provide comment in the Comment tab.

,

C0030 Mapping to S2LoB Select the S2LoB in which the IntLoB should be included. In case one Internal LoB is split to a number of Solvency 2 LoBs it needs

to be reported with the respective proportion for every relevant S2LoB.

The S2LoBs are defined by Annex I Delegated Regulation 2015/35. Select the relevant option from a closed list:

- Medical expense insurance (NL obligations)

- Income protection insurance (NL obligations) - Workers' compensation insurance (NL obligations) - Motor vehicle liability insurance (NL obligations)

- Other motor insurance (NL obligations) - Marine, aviation and transport insurance (NL obligations) - Fire and other damage to property insurance (NL obligations)

- General liability insurance (NL obligations) - Credit and suretyship insurance (NL obligations)

- Legal expenses insurance (NL obligations) - Assistance (NL obligations) - Miscellaneous financial loss (NL obligations)

- Medical expense insurance (Proportional NL reinsurance) - Income protection insurance (Proportional NL reinsurance) - Workers' compensation insurance (Proportional NL

reinsurance) - Motor vehicle liability insurance (Proportional NL

reinsurance) - Other motor insurance (Proportional NL reinsurance) - Marine, aviation and transport insurance (Proportional NL

reinsurance) - Fire and other damage to property insurance (Proportional NL

reinsurance)

- General liability insurance (Proportional NL reinsurance) - Credit and suretyship insurance (Proportional NL reinsurance)

- Legal expenses insurance (Proportional NL reinsurance) - Assistance (Proportional NL reinsurance) - Miscellaneous financial loss (Proportional NL reinsurance)

- Non-proportional health reinsurance - Non-proportional casualty reinsurance - Non-proportional marine, aviation and transport reinsurance

- Non-proportional property reinsurance

C0060 Business type by SF Categories Select the business type which is most relevant in the IntLoB.

Options from a closed list: - MED: Medical Insurance

- IP: Income Protection - WC: Workers' compensation - MTPL: Fleet

- MTPL: Taxis - MTPL: Agriculture - MTPL: Private

- MTPL: Other - OtherM: Fleet

- OtherM: Taxis - OtherM: Agriculture - OtherM: Private

- OtherM: Other - MAT: Marine insurance

,

- FIRE: Building - FIRE: Content

- FIRE: Machine parks - FIRE: Including business interruption - GTPL: Midwifes

- GTPL: Medical professions - GTPL: Environmental pollution - GTPL: Professional liability for architects

- GTPL: Hospital Professional Liability (HPL) insurance - GTPL: D&O (Directors and officers)

- GTPL: Other - C&S: Credit and Suretyship

Location of underwriting (contracts) and risks

C0080 EEA (+UK) Contracts

Cross-Border

or Local

Business

Please indicate where the IntLoB businesses is underwritten in case it is within the EEA (and UK). For direct business, provide

information on the location of the contract. For indirect business, provide information on the cedent’s country. In both cases, for multiple countries (all within the EEA and UK), select the most

dominant one and provide information on the decomposition in the comment fields (C0110).


- None: The IntLoB contains no EEA (or immaterial) - Austria - Belgium

- Bulgaria - Croatia - Czech Republic

- Denmark - Estonia

- Finland - France - Germany

- Greece - Hungary - Iceland

- Ireland - Italy

- Latvia - Liechtenstein - Lithuania

- Luxembourg - Malta - Netherlands

- Norway - Poland

- Portugal - Romania - Slovakia

- Slovenia - Spain - Sweden

- United Kingdom - Other

If the IntLoB contains businesses from several countries, please

select the dominant one.

,

C0110 EEA (+UK) Contracts

Cross-Border or Local

Business

(deviation description)

Field to provide comments for column C0080.

C0120 Non EEA Contracts

Cross-Border

or Local

Business (Corresponding SF Region)

Please indicate if the IntLoB contains businesses underwritten outside the EEA (and UK). For direct business, provide information

on the location of the contract. For indirect business, provide information on the cedent’s country. In both cases, for multiple countries (outside the EEA and UK), select the best fit as close to

the bsiness and provide information on the decomposition in the comment fields (C0150).

The SF CAT regions are defined by Annex III Delegated Regulation 2015/35.


- None: The IntLoB contains no Non-EEA (or immaterial) - Switzerland

- Canada - United States of America - Bermuda

- Mexico - China - Japan

- South Korea - Australia

- Northern Europe (in terms of the SF CAT region) - Western Europe (in terms of the SF CAT region)

- Eastern Europe (in terms of the SF CAT region) - Southern Europe (in terms of the SF CAT region) - Central and Western Asia (in terms of the SF CAT region)

- Eastern Asia (in terms of the SF CAT region) - South and South-Eastern Asia (in terms of the SF CAT region)

- Oceania (in terms of the SF CAT region) - Northern Africa (in terms of the SF CAT region) - Southern Africa (in terms of the SF CAT region)

- Northern America excluding the United States of America (in terms of the SF CAT region)

- Caribbean and Central America (in terms of the SF CAT

region) - Eastern South America (in terms of the SF CAT region)

- Northern, southern and western South America (in terms of the SF CAT region)

- North-east United States of America (in terms of the SF CAT

region) - South-east United States of America (in terms of the SF CAT

region)

- Mid-west United States of America (in terms of the SF CAT region)

- Western United States of America (in terms of the SF CAT region)

,

- Europe (merge the SF CAT regions: Northern Europe; Western Europe; Eastern Europe; Southern Europe)

- Asia (merge the SF CAT regions: Central and Western Asia; Eastern Asia; South and South-Eastern Asia )

- Africa (merge the SF CAT regions: Northern Africa; Southern

Africa) - North America (merge the SF CAT regions: Northern America

excluding the United States of America; North-east United

States of America; South-east United States of America; Mid-west United States of America; Western United States of

America) - South America (merge the SF CAT regions: Caribbean and

Central America; Eastern South America; Northern, southern

and western South America)

- Europe

- North America - South America

- Africa - Asia

- World Wide - Other

If a SF CAT region (or a merger of these regions) is selected,

the corresponding countries appear in C0140. C0150 Non EEA

Contracts



C0160 Global

Risk Location

Please indicate where the IntLoB are located within and outside the EEA. For direct business, provide information on the location of

the contract. For indirect business, provide information on the cedent’s country). In both cases, for multiple countries, select the most dominant one and provide information on the decomposition

in the comment fields (C0180). The closed list of risk locations is identical to the options for

- EEA (+UK) Contracts Cross-Border or Local Business

(C0080) - Non EEA Contracts (C0120)

If a SF CAT region (or a merge of these regions) is selected,

the corresponding countries appear in C0170.

C0180 Global

Risk Location

(comment)


Distribution

C0190 Distribution channel Select the category which describes the distribution channel of the contracts within the IntLoB, if the distribution channel has an impact on the model. Options from a closed list:

- Direct: The contracts are sold directly by the undertaking. - Agent: The contracts are sold directly by agents of the

undertaking.

,

- Brokers: The contracts are sold via brokers. - Bancassurance: The contracts are sold via banks.

- Not reflected in Model Structure: The distribution channel does not have any impact in the model.

- Other (Please specify)

If several distribution channels are present and they have an impact in the model, select the option for the most dominant one and

provide comments in the comment field C0200.

For reinsurance undertakings, select the distribution channel of the indirect business and not the direct business (the original/ underlying policies).

C0200 Distribution channel (Comment) Field to provide comment for cell C0190.

C0210 Type of distribution channel Select the category which describes the type of distribution channel of the contracts within the IntLoB, if the type of distribution

channel has an impact on the model. Options from a closed list: - Direct (Online): The contracts are sold directly (direct, agent)

but via online platform. - Direct (traditional): The contracts are sold directly (direct,

agent) but via traditional platforms (offices, sales point…).

- Indirect (Online): The contracts are sold indirectly (brokers, bancassurance) but via online platform.

- Indirect (traditional): The contracts are sold indirectly (brokers, bancassurance) but via online platform.

- Not reflected in Model Structure: The type of distribution

channel does not have any impact in the model. - Other (Please specify)

If several types of distribution channels are present and they have an impact in the model, select the option for the most dominant one

and provide comments in the comment field C0210. For reinsurance undertakings, select the distribution channel of the

indirect business and not the direct business (the original/ underlying policies).

C0220 Type of distribution channel (Comment)

Field to provide comment for cell C0210.

C0230 Is the business in Run-Off? Select the category which is most appropriate for the type of business. Options from a closed list:

- Going Concern: The undertaking expects new business and will honour liabilities from existing and new contracts.

- Run-Off: No new business are written and the undertaking honours only liabilities from existing contracts.

- Other: None of the above options are suitable. Provide

comment in cell C0240.

If type of business are present, select the option for the most dominant one and provide comments in the comment field C0240.

C0240 Is the business in Run-Off? (Comment)


Business Mix

C0250 What is the dominant currency in your IntLoB


- EUR - USD - ARS

,

- AUD - BRL

- CAD - CHF - CLP

- CNH - COP - CZK

- DKK - GBP

- HKD - INR - JPY

- KRW - MXN - NOK

- NZD - PHP

- PLN - RUB - SEK

- SGD - TRY - ZAR

- Other. Provide a comment in the next cell

C0260 What is the dominant currency in your IntLoB

(comment)

Comment field for cell C0250.

C0270 Is the exposure predominantly "Personal / Household" or

"Commercial"?

Options from a closed list: - Personal / Household

- Commercial (off-the shelf) - Commercial (tailored to individual risk profile) - Other (Please describe in the next cell)

C0280 Is the exposure predominantly "Personal / Household" or

"Commercial"?

(comment)

Comment field for cell C0280.

C0290 Which types of claims are

included in this IntLoB


- Bodily Injury - Property Damage

- Insolvency - Combination (Please report and explain proportions in the next

cell)

C0300 Which types of claims are


(Comment)

Field to comment for cell C0290

C0310 For Motor

Type of vehicle


- Agriculture

- Motorcycle - Bus or truck - Car

,

- Commercial other - Taxis

- Other - Not applicable (Other type of LoB): If the IntLoB is not related

to S2LoB “Motor” or “Other Motor”.

C0320 For Motor

Type of vehicle

Generic description of coverage & damage

Provide a concise explanation on the dominant type of business

and a generic description of the coverage and typical damage. Leave the cell empty if the IntLoB is not attributed to the MTPL or

Other Motor S2LoB.

C0330 For GTPL

Dominant type of business


- HOUSEHOLD: Personal Liability Personal or private liability. - CYBER: Non Property Damage Business Type Security

Breach with NO property damage

- CYBER: Property Damage Business Type Security Breach with property damage

- CONSTRUCTION: Decennial Liability Business Type

Structural Defects - DOCTORS, MEDICAL SERVICES Medical Malpractice

Business Type Building, Content (Industrial Clients) - Professional Indemnity: Certain types of professions - Employers Liability: Employers liability or workers comp

- Employers Liability: Industrial Diseases - Employers Liability: Employers Practices - Directors & Officers: Non-Financial Institutions

- Directors & Officers: Financial Institutions - Financial Loss : Financial Loss (equivalent Pure Economic

Loss) - BUSINESS OWNERS Public Liability Public and Product

Liability

- BUSINESS OWNERS Public Liability Claims made - BUSINESS OWNERS Fraud / Crime Employee's fraud,

misuse of equipment

- GENERAL LIABILITY Environmental Impairment Liability or Non Marine Pollution Liability Environmental , Pollution

- Nuclear - Energy - Not applicable (Other type of LoB): If the IntLoB is not related

to S2LoB “GTPL”

C0360 For GTPL


Please address the additional

questions

An additional question is generated in cell C0350. Provide an answer in this cell.

Leave the cell empty if the IntLoB is not attributed to the GTPL S2LoB.

C0370 For Fire



- Individual Household Business Type Building, Content

(Personal Household)

- Retail customers Business Type Building, Content (Retail) - Commercial Insurance Business Type Building, Content

(Commercial Building)

- Industrial Insurance Business Type Building, Content (Industrial Clients)

- Engineering: Traditional Engineering

- Engineering: Erection All Risks

,

- Construction: Construction All Risks - Crop Insurance

- Livestock Insurance - Jewellery & Fine Art - Terrorism

- Man Made - Other - Not applicable (Other type of LoB): If the IntLoB is not related

S2LoB to Fire

C0400 For Fire



questions

An additional question is generated in cell C0390. Provide an answer in this cell.

Leave the cell empty if the IntLoB is not attributed to the Fire S2LoB.

C0410 For Credit and Suretyship

Product

Select the product class of credit and suretyship which is dominant in the IntLoB (if applicable). Select the most appropriate options from the closed list:

- Trade Credit Insurance/Commercial risk/Comprehensive

cover: Standard credit insurance that protects accounts receivable from loss due to credit events like insolvency, bankruptcy or protracted default.

- Trade Credit Insurance/Commercial risk /Excess-of-Loss / Top-up: Credit insurance policy that cover excess of loss above a specified limit.

- Trade Credit Insurance/Commercial risk /Single risk: Credit insurance policy designed to cover a specific risk (arising from

a specific contract, investment, project…). - Trade Credit Insurance/Political risk/: Credit insurance policy

designed to cover against political risk (risk arising from

“political events/decisions” like war, nationalisation). - Trade Credit Insurance/Other/: Other type of Credit Insurance

that are not “Comprehensive cover”, “Excess -of-Loss/Top-

up”, “Single Risk” or “Political Risk”. - Suretyship/Bonding/: Any type of suretyship that implies the

emission of a financial bond. - Suretyship/Other/: Any type of suretyship that does not imply

the emission of a financial bond.

- Not applicable (Other type of LoB): If the IntLoB is not related to S2LoB “Credit and Suretyship”

If several product classes are present in the IntLoB, select the category of the most relevant one and use the comment cell to

provide more insights.


Product

(Comment)

Field to provide comments for cell C0410.

Leave the cell empty if the IntLoB is not attributed to the Credit and Suretyship S2LoB.


Is political risk covered in this

IntLoB?

Explain if policies covering political risk for Credit and Suretyship are present in the IntLoB (if applicable). Select the most appropriate option from the closed list:

- Political Risk Covered: The IntLoB is associated to Credit and

Suretyship and some policies covering this risk are present in

the IntLoB.

,

- Political Risk NOT-Covered: The IntLoB is associated to Credit and Suretyship and no policies covering this risk are

present in the IntLoB. - Other: Please comment - Not applicable (Other type of LoB): If the IntLoB is not related

to S2LoB Credit and Suretyship


How is political risk modelled

within the model?

Explain how the political risk is treated within the IM of Credit and Suretyship (if applicable). Select the most appropriate option from the closed list:

- Modelled implicitly: There is a modelisation but political risk

is treated implicitly, e.g. no difference with the other types of claims.

- Modelled explicitly: There is an explicit modelisation of

political risk. - Factor by expert judgement: Political risk is determined via

expert judgement.

- Not modelled: Political risk is not in scope of the IM - Not applicable (Other type of LoB): If the IntLoB is not related

to S2LoB “Credit and Suretyship”



within the model?

(Comment)

Field to provide comments for cell C0440. Leave the cell empty if the IntLoB is not attributed to the Credit and

Suretyship S2LoB.

C0460 Any product-specific aspect

necessary to understand your risk profile

(relative positioning to other

undertakings).

Provide any other information, related to the contract, you perceive relevant to understand your relative positioning of this IntLoB with

respect to the other IntLoBs and with respect the NLCS sample.

C0470 Any additional information on business underwritten

necessary to understand your risk

profile


undertakings).

Provide any other information, related to the underwritten business, you perceive relevant to understand your relative positioning of this

IntLoB with respect to the other IntLoBs and with respect the NLCS sample.

General

C0480 Describe the rationale why this IntLoB is necessary for your IM

(beyond the responses given

already)

Provide a concise explanation why this IntLoB is part of the IM. Information on risk location, distribution channel and business mix

is provided in the previous columns.

C0490 Is this a new IntLoB? Explain if the IntLoB has been created since the last submission.

Select the option from a closed list: - No (it was reported in the last submission)

- Yes (it is new business) - Yes (it is a combination of previous business) - Yes (first reporting year of internal model)

- Other (Please comment)

,

C0500 Please describe the changes of the IntLoB since the last submission

Provide a concise description of the changes of the IntLoB not reported in the previous columns and deemed necessary to

understand the evolution of the model since the last submission (on underlying portfolio, model and etc.).

C0510 Short IntLoB description Provide a concise description of the IntLoB.

Survey B Mapping

C0520 Risk location Please list the mapping used for the filling of survey B. The options

availiable are identical to the closed list of C0160. The geographical segmentation should resemble the smallest

available denominator between Premium, Reserve and Cat

Risk. C0530 Risk location (Comment) Provide any additional information necessary

Table 6: GEN_SEG_02_01


C0010 IntLoB Name of the internal line of business used by the undertaking.

Solvency 2

C0020 IM Coverage

Same instructions as for Reserve Risk. Options from a closed list:

- Same options as for Reserve Risk

C0030 Mapping to S2LoB

Select the S2LoB in which the IntLoB should be included. In case one Internal LoB is split to a number of Solvency 2 LoBs it needs

to be reported with the respective proportion for every relevant S2LoB.

The S2LoBs are defined by Annex I Delegated Regulation 2015/35. Select the relevant option from a closed list:


C0060 Business type by SF

Categories



Location of underwriting (contracts) and risks

C0080

EEA (+UK) Contracts

Cross-Border

or Local

Business

Same instructions as for reserve risk (C0080). Options from a closed list:

- Same options as for Reserve Risk (C0080)

C0110

EEA (+UK)

Contracts

Cross-Border

or Local Business


Field to provide comments to cell C0080

C0120

Non EEA

Contracts

Cross-Border

Business

Same instructions as for reserve risk (C0120). Options from a

closed list: - Same options as for Reserve Risk (C0120)

,

C0150

Non EEA Contracts

Cross-Border

Business (deviation

description)


C0160

Global

Risk Location



C0180

Global

Risk Location (Comment)


Distribution

C0190

Distribution channel Options from a closed list: - Same options as for Reserve Risk

C0200 Distribution channel

(Comment) Field to provide comment for cell C0190.

C0210

Type of distribution channel Options from a closed list:


C0220 Type of distribution channel

(Comment) Field to provide comment for cell C0220.

C0230

GWP

Underwritten directly

Provide the amount of relevant GWP for this IntLoB (directly underwritten by your undertaking, direct sales or agents).

For reinsurance undertakings, provide the GWP on indirect business and not the direct business (the original/ underlying policies).

C0240

GWP

Underwritten by brokers

Provide the amount of relevant GWP for this IntLoB (underwritten by brokers).

For reinsurance undertakings, provide the GWP on indirect

business and not the direct business (the original/ underlying policies).

C0250

GWP

Bancassurance

Provide the amount of relevant GWP for this IntLoB (underwritten by bancassurance).

For reinsurance undertakings, provide the GWP on indirect business and not the direct business (the original/ underlying policies).

C0260

GWP

Other

Provide the amount of relevant GWP for this IntLoB (underwritten by other channels).



Business Mix

C0270

What is the dominant currency in your gross written premium

(of the previous year)?

Options from a closed list: - EUR

- USD - ARS

,

- AUD - BRL

- CAD - CHF - CLP

- CNH - COP - CZK

- DKK - GBP

- HKD - INR - JPY

- KRW - MXN - NOK

- NZD - PHP

- PLN - RUB - SEK

- SGD - TRY - ZAR

- Other: Please comment

C0280

What is the dominant currency

in your gross written premium (of the previous year)?

(Comment)


C0290

What is the dominant currency in your claims (of the previous

year)?

Options from a closed list: - EUR

- USD - ARS - AUD

- BRL - CAD

- CHF - CLP - CNH

- COP - CZK - DKK

- GBP - HKD

- INR - JPY - KRW

- MXN - NOK - NZD

- PHP - PLN - RUB

- SEK - SGD

- TRY - ZAR - Other

,

C0300

What is the dominant currency in your claims (of the previous

year)?

(Comment)


C0310

Is the exposure predominantly "Personal / Household" or

"Commercial"?



C0320

Is the exposure predominantly "Personal / Household" or

"Commercial"?

(Comment)

Field to provide comments for cell C0310

C0330

GWP

Household

Provide the amount of relevant GWP for this IntLoB (for households).

For reinsurance undertakings, provide the GWP on indirect business and not the direct business (the original/ underlying

policies).

C0340

GWP

SME

Provide the amount of relevant GWP for this IntLoB (for SME).


policies). If applicable, use your internal definition of SME and provide a concise explanation.

C0350

GWP

Large (& multinational) companies

Provide the amount of relevant GWP for this IntLoB (for large and multinational) divided by the total GWP of this IntLoB.



If applicable, use your internal definition of large companies and provide a concise explanation.

C0360

GWP

Other

Provide the amount of relevant GWP for this IntLoB that cannot be attributed to households, SME or large companies).


policies).

C0370

GWP

Other

(Comment)

Field to provide comments for cell C0370

C0380

Which types of claims are



- Bodily Injury - Property Damage

- Insolvency - Combination (Please report and explain proportions in next

cell)

C0390 Which types of claims are included in this IntLoB?


,

(Comment)

C0400

For Motor

Type of vehicle

Options from a closed list: - Same options as for Reserve Risk

C0410

For Motor

Type of vehicle



and a generic description of the coverage and typical damage.

Leave the cell empty if the IntLoB is not attributed to MTPL or Other Motor S2LoB.

C0420

For MTPL

Last 5 year Incurred Claims Cost

Individual claims [0-5 Million EUR]

Provide the sum of incurred claims, where the individual claims are comprised between 0 and 5 millions of Euro, for the last 5 years for

this IntLoB. For reinsurance undertakings, provide the sum on indirect


Leave the cell empty if the IntLoB is not attributed to the MTPL S2LoB.

C0430

For MTPL



Provide the sum of incurred claims, where the individual claims are comprised between 5 and 20 millions of Euro, for the last 5 years

for this IntLoB. For reinsurance undertakings, provide the sum on indirect



C0440

For MTPL



Provide the sum of incurred claims, where the individual claims are comprised between 20 and 100 millions of Euro, for the last 5 years

for this IntLoB. For reinsurance undertakings, provide the sum on indirect



C0450

For MTPL


Individual claims [greater than 100 Million

EUR]

Provide the sum of incurred claims, where the individual claims are greater than 100 million of Euro, for the last 5 years for this IntLoB.

For reinsurance undertakings, provide the sum on indirect business and not the direct business (the original/ underlying

policies).


C0460

For GTPL


Options from a closed list: - Same options as for Reserve Risk

C0470

For GTPL



and a generic description of the coverage and typical damage. Leave the cell empty if the IntLoB is not attributed to the GTPL

S2LoB.

,


C0490

For GTPL



questions

Additional questions are generated in cell C0480.


C0500

For GTPL

Last 5 year Incurred Claims

Cost

Individual claims

[0-5 Million EUR]

Provide the sum of incurred claims, where the individual claims are

comprised between 0 and 5 millions of Euro, for the last 5 years for this IntLoB.


policies). Leave the cell empty if the IntLoB is not attributed to the GTPL

S2LoB.

C0510

For GTPL


Cost

Individual claims

[5-20 Million EUR]





S2LoB.

C0520

For GTPL


Cost

Individual claims

[20-100 Million EUR]





S2LoB.

C0530

For GTPL


Cost

Individual claims

[greater than 100 Million EUR]


greater than 100 million of Euro, for the last 5 years for this IntLoB. For reinsurance undertakings, provide the sum on indirect



C0540

For Fire




C0570

For Fire



questions

Additional questions are generated in cell C0560. Provide an answer.


C0580 For Fire

GWP corresponding to a Sum

Provide the GWP, where the sum insured is between 0 and 5 millions of Euro, for this IntLoB.

,

Insured

[0-5 Million EUR]


policies). Leave the cell empty if the IntLoB is not attributed to the Fire

S2LoB.

C0590

For Fire


Insured

[5-20 Million EUR]

Provide the GWP, where the sum insured is between 5 and 20

millions of Euro, for this IntLoB. For reinsurance undertakings, provide the sum on indirect



C0600

For Fire


Insured

[20-100 Million EUR]

Provide the GWP, where the sum insured is between 20 and 100

millions of Euro, for this IntLoB. For reinsurance undertakings, provide the sum on indirect



C0610

For Fire

GWP corresponding to a Sum Insured

[greater than 100 Million EUR]

Provide the GWP, where the sum insured is greater than 100 million of Euro, for this IntLoB.


policies).


C0620

For Credit and Suretyship

Product

Same instructions as for Reserve Risk. Options from a closed list: - Same options as for Reserve Risk

C0630


Product

(Comment)



C0640


Is political risk covered in this

IntLoB?



C0650



within the model?




C0660



within the model?


Leave the cell empty if the IntLoB is not attributed to the Credit and

Suretyship S2LoB.

,

(Comment)

C0670 Describe your exposure to

Cyber Risk Provide a concise explanation on the exposure to Cyber risk relevant for this IntLoB (if applicable).

C0680

Please describe measures taken to address Cyber Risk

(accumulation, exclusion, silent cyber, etc.)

Provide a concise explanation on the measures to address Cyber risk for this IntLoB (if applicable).

C0690

Any product-specific aspect

necessary to understand your

risk profile


undertakings).

Provide any other information on the products, contract, policies deemed relevant to understand the risk profile and relative positioning to other undertakings in scope of the NLCS.

C0700

Any additional information on

business underwritten

necessary to understand your risk profile

(relative positioning to other undertakings).

Provide any other information on the business underwritten

deemed relevant to understand the risk profile and relative positioning to other undertakings in scope of the NLCS.

C0710

Describe the rationale why this IntLoB is necessary for your

IM

(beyond the responses given

already)

Same instructions as for Reserve Risk.

C0720

Is this a new IntLoB?



C0730 Please describe the changes of

the IntLoB since the last

submission

Same instructions as for Reserve Risk.

C0740 Short IntLoB description Same instructions as for Reserve Risk.

Survey B mapping

C0750 Risk location Same instructions as for Reserve Risk.

C0760 Risk location (Comment) Same instructions as for Reserve Risk.

Table 7: GEN_SEG_03_01


C0010 Catastrophe Name Name of peril used by the undertaking.

Solvency 2

C0020

IM Coverage


- Same options as for Reserve Risk & Premium Risk

C0030 Cat Type

Select the category which describes if the Catastrophe is attributed to a natural or man-made origin:

- NatCat : Natural Catastrophe - MMCat: Man-Made Catastrophe

This attribution should be univocal.

,

C0040 Mapping to S2LoB

It is expected the insurance and reinsurance undertakings indicate in which S2LoB each peril should be included.

In case one CAT peril is split to a number of S2LoBs it needs to be reported with the respective proportion for every S2LoB.


- Same options as for Reserve Risk & Premium Risk

C0070 Mapping to S2LoB (Comment) Field to provide comments for cell C0040.

C0080 Dominant SF Peril

Options from a closed list: - Windstorm

- Earthquake - Hail

- Flood - Subsidence - Other NatCat

- Motor Vehicle Liability - Marine - Aviation

- Fire (Buildings) - Liability

- Credit & Suretyship - Other Man-made

These categories are defined in articles 120 and 138 of the Delegated Regulation.

C0100 SF peril deviation Provide comments (if needed) for the deviation with respect to the SF Peril definition (Cell C0080)

C0110 SF Region


- Austria

- Belgium

- Bulgaria

- Croatia - Czech Republic

- Denmark

- Estonia

- Finland

- France - Germany

- Greece

- Hungary

- Iceland

- Ireland

- Italy - Latvia

- Liechtenstein

- Lithuania

- Luxembourg

- Malta - Netherlands

- Norway

- Poland

- Portugal

,

- Romania - Slovakia

- Slovenia

- Spain

- Sweden

- United Kingdom

- Switzerland

- Canada

- United States of America

- Bermuda

- Mexico - China

- Japan

- South Korea

- Australia

- Northern Europe

- Western Europe

- Eastern Europe

- Southern Europe

- Central and Western Asia - Eastern Asia

- South and South-Eastern Asia

- Oceania

- Northern Africa

- Southern Africa

- Northern America excluding the United States of America - Caribbean and Central America

- Eastern South America

- Northern, southern and western South America

- North-east United States of America

- South-east United States of America - Mid-west United States of America

- Western United States of America

- Europe

- North America - South America

- Africa

- Asia

- Worldwide

- Other

The SF regions are defined in Annex III of the Delegated

Regulation.

If a peril can be attributed to several SF Regions, then select

the most relevant one (and provide comment in cell C0130)

C0130 SF Region deviation Provide comments (if needed) for the deviation with respect to the

SF Peril definition (Cell C0110)

Climate change

,

C0140 Climate change effect on Cat

Modelling

Select the category which describes how climate change is taken into account when modelling the peril:

- Yes, explicitly modelled - Yes, implicitly modelled

- Yes, other (Provide comments in cell C0150) - No, peril not impacted by climate change - No, other (Provide comments in cell C0150)

- Not sure

C0150 Additional information on climate

change Provide comment to for the climate change effect on peril modelling

C0160 Is this a new Cat Risk?


- No (it was reported in the last submission) - Yes (it is new business) - Yes (it is a combination of previous businesses)

- Yes (first reporting year of the Internal Model) - Other (Please comment)

C0170 Please describe the changes of the Cat Risk since the last submission

Same instructions as for Reserve Risk

C0180 Short Cat Risk description Provide a concise description of the Catastrophes included in this Peril.

Solvency Capital Requirement

C0190 Gross of reinsurance

Solvency Capital Requirement consistent with the overall Non-Life Underwriting Risk reported.

The Solvency Capital Requirement is on a gross of reinsurance basis for the peril.

This cell represents the stand-alone risk of the respective granularity with the approved risk measure of the Internal Model.

C0200 Net of reinsurance


The Solvency Capital Requirement is on a net of reinsurance basis for the peril.


Survey B Mapping

C0210 Risk location Same instructions as for Reserve Risk

C0220 Risk location (Comment) Same instructions as for Reserve Risk

3.4. GEN_COM: General comment section

This tab is intended for any additional comment which is necessary to understand the submission and

its limitations fairly (not covered in other areas). Furthermore any additional comments (e.g. clarifications or suggestions for future versions of this template) on the content of this spreadsheet are

welcome here.

Table 8: GEN_COM_01_01 CODE ITEM INSTRUCTIONS

R0010_C0010, R0020_C0010,

R0030_C0010,

Section of concern Indicate in which part of the submission the comment comes from. Options from closed list:

,

R0040_C0010, …

- Overall submission

- GEN_INF - GEN_VAL

- GEN_SEG - GEN_COM

- QT_NL_ - QT_RR_

- QT_PR_

- QT_QL_CAT - QT_CS_

- QT_CS_EX - QT_COR_1

- QT_COR_2 - QT_COR_3

- QL_RR_ - QL_PR_ - QL_CS_

R0010_C0020,

R0020_C0020, R0030_C0020, R0040_C0020,

…

Type of concern Indicate which category is more suitable for the comment. Options

from closed list: - Model structure flexibility – The model is not able to report on

the requested granularity. - Simplifications made – Several simplifications or

approximations have been used to provide the requested value. - Conceptual differences to NLCS assumptions – The model is

based on choices, assumptions that are incompatible with the

NLCS assumptions. - Deviation from instruction – The value is obtained by deviating

from the instructions (except simplifications or

approximations).

- Other – None of the previous categories is suitable for the comment.

R0010_C0030,

R0020_C0030, R0030_C0030, R0040_C0030,

…

Area of concern Elaborate on the concern and provide references (sub-tab,

columns and row number if applicable) to identify the area of concern.

4. Quantitative tabs

These tabs (starting by QT_) collect quantitative information:

QT_NL collects quantitative information aggregated at overall Non-Life Underwriting risk

QT_RR collects quantitative information aggregated at Reserve Risk

QT_PR collects quantitative information aggregated at Premium Risk

QT_QL_CAT collects quantitative information aggregated at CAT Risk

QT_CS collects specific quantitative information for Credit and Suretyship (for Premium,

Reserve and Aggregate levels)

QT_CS_EX collects quantitative specific exposure information for Credit and Suretyship

QT_CORR_1 collects quantitative information for correlation among IntLoBs (for premium

and Reserve Risks)

QT_CORR_2 collects quantitative information for correlation among S2LoBs (for premium and

Reserve Risks)

,

QT_CORR_1 collects quantitative information for correlation among perils (CAT risk)

Furthermore, within the tabs QT_NL, QT_RR, QT_PR and QT_CS, different breakdowns are

considered, e.g. gross and net of reinsurance as well as on IntLoB and S2LoBs. For this reason, there

are sub tables named 01_01, 01_02,…, 02_01, 02_02,… and all of them must be filled.

The columns in the tabs are organised by quantitative indicator, i.e. same indicator is requested for each

row of a column but with different breakdown1.

Since tables share the same indicator differentiated by breakdown, the presentation is the following:

A table summarises the breakdown for each sub table (Table 9, Table 11, Table 14 and Table

24).

The shared information is detailed in tables (Table 10, Table 12, Table 13, Table 15, Table 16,

Error! Reference source not found., Error! Reference source not found. and Error!

Reference source not found.).

4.1. QT_NL: Overall Non-Life Underwriting Risk

This tab provides a quantitative overview on the overall Non-Life Underwriting Risk broken down in

gross and net of reinsurance.

Table 9: QT_NL overview

Gross of

reinsurance

Net of

reinsurance

Overall Non-Life Underwriting Risk 01_01 01_02

Non-Life Risk 01_03 01_04

Health NSLT Risk 01_05 01_06 Within the granularities it will be requested for diversified risk capital:

- Total diversified Non-life underwriting risk (PP+RR+Cat) (IM + SF) - Total diversified Non-life underwriting risk (PP+RR+Cat) (IM only) - Total diversified Non-life underwriting risk (PP+RR+Cat) (SF only)

Table 10: QT_NL shared (01_01 | 01_02 | 01_03 | 01_04 | 01_05 | 01_06)


C0010 Solvency Capital Requirement Solvency Capital Requirement consistent with the overall Non-Life Underwriting Risk reported.

It is required to identify the Solvency Capital Requirement for each IntLoB, S2LoB and aggregate level based on gross/net of reinsurance data.

This cell represents the stand-alone risk of the respective

granularity with the approved risk measure of the Internal Model.

C0020 USP based

SCR Value

If relevant: SCR as calculated using Undertaking Specific

Parameters.

C0030 Standard Formula SCR Value

If relevant: SCR as calculated using Standard Formula.

1 Except the QT_QL_CAT for which the indicators of tables 01_01, 01_02 and 01_03 are different. However, the columns for

tables 01_04, 01_05 and 01_06 as well as 02_04, 02_05 and 02_06 as well as 03_04, 03_05 and 03_06 use the same indicator.

,

C0040

Simulated (output) mean

This is the mean of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the

calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis).

C0050 Simulated (output) standard deviation

This is the standard deviation of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for

the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis).

C0060 to C0210 “0.1 to 0.999” The undertaking is expected to indicate the amounts of the percentiles required in the table related to the profit and loss

distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output

obtained based on the simulation process (gross of reinsurance and on an undiscounted basis).

If the risk measure definition is in line with the risk measure definition of article 101 of the Solvency 2 Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR.

Covid-19

C0220 P&L Premium & Reserve Risk

(for YE20 & YE19)

Risk P&L for previous year in line with P&L attribution:


C0230 Covid 19 Impact assessment on

Provision for claims outstanding

and expected profit/loss - discounted

Please estimate the impact value of Covid 19 on the provisions outstanding and expected profit/loss. This number can be positive (higher value due to Covid 19) or negative (lower value due to

Covid 19). Please provide the absolute deviation in EUR.

Undertakings are free to select a mechanism on how they estimate this impact.



SCR

Please estimate the impact value of Covid 19 on the SCR.

This Number can be positive (higher SCR) or negative (lower SCR). Please provide the absolute deviation in EUR.

Undertakings are free to select a mechanism on how they estimate

this impact. For submissions prior to YE2020, leave the cell empty.

Comment

C0250 Premium and Reserve Risk Quant.

Gross/Net Comments

Provide any information necessary to understand the data provided on the respective granularity.

For YE 2020 particular describe concisely your methodology for Covid 19 Impact assessment

4.2. QT_RR: Quantitative Information Reserve Risk

This tab provides a quantitative overview on the Reserve Risk broken down in gross and net of reinsurance on three layers of granularity (Overall/SF/IM, S2LoB, and IntLoB).

The IntLoBs for Reserve Risk are populated from the GEN_SEG tab (please file them first).

,

Net of Reinsurance tables follow mainly the Gross layout (as highlighted below). Additional information

is however provided on discounted basis.

Table 11: QT_RR overview

Gross of

Reinsurance

Net of

Reinsurance

Overall and break down along SF and IM 01_01 02_01

Breakdown by S2Lob 01_02 02_02

Breakdown by IntLoB 01_03 02_03

Table 12: QT_RR shared Gross/Net (01_01 | 01_02 | 01_03 | 02_01 | 02_02 | 02_03)


Time-value of money and risk emergence2

C0010

Reserve duration (years)

Duration of the cash-flows as projected in the best estimate

calculation.

C0020 Average discount rate used to derive duration

Constant 𝑟 such that discounting with (1 + 𝑟)−𝑡 yields the same discounted BEofIM.

C0030 Payment pattern Year 1

Portion of the overall reserve best estimate that is expected to be paid during the following year.

C0040 Standard deviation of profit and losses

(ultimate view)

If relevant: similar to R0520, computed with the ultimate risk distribution.

C0050 SCR (ultimate view)

If relevant: similar to C0140, computed with the ultimate risk distribution.

C0060 Mean of profit and losses (ultimate view)


C0070 Q99.5 of profit and losses (ultimate view)


Volume measure decomposition

C0080 Provision for claims outstanding - discounted

The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not

reported. Based on article 77 solvency 2 Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present

value of future cash-flows), using the relevant risk-free interest rate term structure.

C0090 Provision for claims outstanding - undiscounted

The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on article 77 solvency 2 Directive, the best estimate

corresponds to the probability-weighted average of future cash-flows, not taking account of the time value of money (expected

present value of future cash-flows).

C0100 Premium Provision - discounted

(only if premium provision allocated to reserve risk)

The discounted sum of future cash flows that comprise the premium

provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the

premium provision at the reporting reference date is allocated to reserve risk.

C0110 Premium Provision -

undiscounted (only if premium

The undiscounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite

2 This section is for the Non-Focus IntLobs on the IntLoB granularity on an optional basis

,

provision allocated to reserve risk)

reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date

is allocated to reserve risk.

C0120 Best estimate expenses

(allocated)

Discounted best estimate of allocated expenses


(unallocated)

Discounted best estimate of unallocated expenses.

Risk Capital and decomposition

C0140 Solvency Capital Requirement Solvency Capital Requirement consistent with the overall Non-Life Underwriting Risk reported.

It is required to identify the Solvency Capital Requirement for each

IntLoB, S2LoB and aggregate level based on gross/net of reinsurance data (depending on the aggregation level of the table).


Risk Capital and decomposition: SCR scenario decomposition / contribution to the SCR Scenario

C0150 Annuity Values of annuities contributing to the SCR scenario.

C0160 Large Loss Value of large (individually modelled) claims contributing to the SCR scenario.

C0170 Attritional Loss

Value of attritional claims related losses contributing the SCR scenario. In case there is no differentiation between large and attritional claims they should be reported here.

C0180 Expenses Expenses contributing to the SCR scenario.

C0190 Commissions Commissions contributing to the SCR scenario.

Risk Capital and decomposition: Standard Formula

C0200 SF volume measure Volume measure as defined in the Delegated Regulation.

C0210

USP based SCR Value

If relevant: SCR as calculated using Undertaking Specific Parameters.



The data are provided gross (for QT_RR_01_01, QT_RR_01_02, QT_RR_01_02) or net (for QT_RR_02_01, QT_RR_02_02, QT_RR_02_02) of reinsurance, on an undiscounted basis: Modelled results 3

C0230 Simulated (output) mean This is the mean of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the

calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an

undiscounted basis).

C0240 Simulated (output) standard

deviation

This is the standard deviation of the profit and loss distribution

forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an

undiscounted basis).

C0250 … C0500

0.05 … 0.999 The undertaking is expected to indicate the amounts of the

percentiles required in the table related to the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output

obtained based on the simulation process (gross of reinsurance and on an undiscounted basis).

3 This section is for the Non-Focus IntLobs on the IntLoB granularity on an optional basis for all information except Simulated

(output) mean, Simulated (output) standard deviation and 0.995

,

If the risk measure definition is in line with the risk measure definition of article 101 of the Solvency 2 Directive, the 99.5

percentile will differ by the Simulated (output) mean from the SCR.

The data are provided gross of reinsurance, on an discounted basis.

Covid-19

C0510 Reserve Risk P&L (for YE20 & YE19)

Reserve Risk P&L for previous year in line with P&L attribution:

Payment minus variation of BE Claims Provision for previous (past accident years.



Provision for claims outstanding -

discounted

Please estimate the impact value of Covid 19 on the Provisions outstanding. This number can be positive (higher value due to Covid 19) or negative (lower value due to Covid 19). Please provide

the absolute deviation in EUR.




RR SCR

Please estimate the impact value of Covid 19 on the SCR. This number can be positive (higher RR SCR) or negative (lower

RR SCR). Undertakings are free to select a mechanism on how they estimate

this impact.


Comment

C0540 Premium Risk Quant. Gross/Net

Comments


For YE 2020 particular describe concisely your methodology for

Covid 19 Impact assessment

Table 13: QT_RR shared Net Disc. (02_01 | 02_02 | 02_03)


Section: The data are provided net (for QT_RR_02_01, QT_RR_02_02, QT_RR_02_02) of reinsurance recoverables, on a discounted basis. 4

C0510 Simulated (output) mean This is the mean of the profit and loss distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis).


This is the standard deviation of the profit and loss distribution. It is the output obtained based on the simulation process (net of

reinsurance and on discounted basis).

C0530 … C0780 0.05 … 0.999 The undertaking is expected to indicate the amounts of the

percentiles required in the table related to the profit and loss distribution obtained based on the simulation process (net of reinsurance and on discounted basis).

The data are provided net of reinsurance, on an discounted basis.

Covid-19

4 This section is for the Non-Focus IntLobs on the IntLoB granularity on an optional basis for all information except Simulated

(output) mean, Simulated (output) standard deviation and 0.995

,

C0790 Reserve Risk P&L (for YE20 & YE19)

Reserve Risk P&L for previous year in line with P&L attribution:

Payment minus variation of BE Claims Provision for previous (past accident years.



Provision for claims outstanding -

discounted

Please estimate the impact value of Covid 19 on the Provisions

outstanding. This number can be positive (higher value due to Covid 19) or negative (lower value due to Covid 19). Please provide the absolute deviation in EUR.




RR SCR


This number can be positive (higher RR SCR) or negative (lower RR SCR).



Comment

C0820 Reserve Risk Quant. Gross/Net

Comments


For YE 2020 particular describe concisely your methodology for Covid 19 Impact assessment

4.3. QT_PR: Quantitative Premium Risk (excl. expl. CAT Risk)

This tab provides a quantitative overview on the Premium Risk broken down in gross and net of reinsurance on three layers of granularity (Overall/SF/IM, S2LoB, and IntLoB).

The IntLoBs for Premium Risk are populated from the GEN_SEG tab (please file them first).

Net of Reinsurance tables follow mainly the Gross layout (as highlighted below). Additional information is however provided on discounted basis.

Table 14: QT_PR overview

Gross of

Reinsurance

Net of

Reinsurance

Overall and break down along SF and IM 01_01 02_01

Breakdown by S2Lob 01_02 02_02

Breakdown by IntLoB 01_03 02_03

Table 15: QT_PR shared Gross/Net (01_01 | 01_02 | 01_03 | 02_01 | 02_02 | 02_03)


,

Time-value of money and risk emergence5

C0010

Duration of loss cash flow (years) Duration of the claims cash-flows as projected in the best estimate calculation.

C0020

Average discount rate used to derive duration

Constant 𝑟 such that discounting with (1 + 𝑟)−𝑡 yields the same as obtained for the complete discounting of the Premium Provision. (t

being the duration)

C0030

Payment pattern

Year 1

Portion of the claims as computed in the premium best estimate that

is expected to be paid during the following year.

C0040

Standard deviation of losses

(ultimate view)

If relevant: similar to R0300, computed with the ultimate risk

distribution.

C0050

SCR (ultimate view)

If relevant: similar to R0180, computed with the ultimate risk distribution.

C0060

Mean of losses

(ultimate view)

If relevant: similar to R0290, computed with the ultimate risk

distribution.

C0070

Q99.5 of losses

(ultimate view)

If relevant: similar to C0540, computed with the ultimate risk

distribution.

Volume measure decomposition

C0080

Gross/Net Written Premium Gross/Net premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from

direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year.

C0090 Gross/Net Earned Premium It is the sum of gross/net premiums written minus the change in the gross/net provision for unearned premiums related to insurance

direct business.

C0100 Gross/Net Loss ratio Expected ratio of claims over earned premiums, gross /net of

reinsurance (please report a ratio of 100% as 1).

C0110 Gross/Net combined ratio Expected ratio of claims and expenses over earned premiums,

gross/net of reinsurance (please report a ratio of 100% as 1).

C0120 Gross/Net written premium

planned in the 12 months post the reporting Reference Date

Gross/Net premium planned to be written within the 12 months

following the reporting reference date via binder agreements either signed before or after the reference date.

C0130 Gross/Net written unearned premium at the Reference Date

(only if premium provision

allocated to premium risk)

Written unearned premium gross/net of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk.

C0140 Premium Provision - discounted

(only if premium provision allocated to premium risk)

The discounted sum of future cash flows that comprise the premium

provisions, gross/net of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the

premium provision at the reporting reference date is allocated to premium risk.

C0150 Premium Provision - undiscounted (only if premium

provision allocated to premium risk)

The undiscounted sum of future cash flows that comprise the premium provisions, gross/net of the amounts recoverable from

reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date

is allocated to premium risk.

C0160 Best estimate expenses (allocated) Discounted best estimate of allocated expenses.


(unallocated)

Discounted best estimate of unallocated expenses.

Risk Capital and decomposition

C0180 Solvency Capital Requirement Solvency Capital Requirement consistent with the overall Non-Life

Underwriting Risk reported.

5 This section is for the Non-Focus IntLobs on the IntLoB granularity on an optional basis

,

It is required to identify the Solvency Capital Requirement for each

IntLoB, S2LoB and aggregate level based on gross/net of reinsurance data (depending on the aggregation level of the table).


Risk Capital and decomposition: SCR scenario decomposition / contribution to the SCR Scenario

C0190 Premium Premium contributing to the SCR scenario.

C0200 Annuity Value of the annuity losses contributing to the SCR scenario.

C0210 Large Loss Value of the large losses contributing to the SCR scenario.

C0220 Attritional Loss Value of the attritionnal losses contributing to the SCR scenario.

C0230 Expenses Value of the expenses contributing to the SCR scenario.

C0240 Commissions Value of the commissions related to the SCR scenario.

Risk Capital and decomposition: Standard Formula

C0250 SF volume measure Volume measure as defined in the Delegated Regulation.

C0260

USP based SCR Value

If relevant: SCR as calculated using User Specific Parameters.

C0270

Standard Formula SCR Value


The data are provided gross/net (for QT_PR_01_01, QT_PR_01_02, QT_PR_01_02) or net (for QT_PR_02_01,

QT_PR_02_02, QT_PR_02_02) of reinsurance, on an undiscounted basis: Modelled results. 6

C0280 Business plan Loss Ratio Loss ratio (ratio of claims and expenses by earned premiums) as

expected in the Business Plan and used in Best Estimate (please report a ratio of 100% as 1).

C0290 Simulated mean of the Profit and Loss distribution from the IM

This is the mean of the profit and loss distribution. It is the output obtained based on the simulation process (gross/net of reinsurance

and on an undiscounted basis).

C0300 Simulated (output) standard

deviation of the Profit and Loss distribution from the IM

This is the standard deviation of the Profit and Loss distribution. It

is the output obtained based on the simulation process (gross/net of reinsurance and on an undiscounted basis).

C0310 … C0560 0.05 … 0.999 The percentiles required in the table related to the Profit and Loss distribution obtained based on the simulation process (gross/net of reinsurance and on an undiscounted basis).

The data are provided gross of reinsurance, on an discounted basis.

COVID-19

C0570 Premium Risk P&L (incl. Man-made CAT)

(for YE20 & YE19)

Premium Risk P&L for current year in line with P&L attribution:

Payment increased with the BE Claims Provision for the current accident year plus the expenses and commission minus the written premium and plus the variation of the Best Estimate Premium

Provision (including BBNI). For this P&L natural catastrophes should be excluded and man-

made catastrophes should be included.



Please estimate the impact value of Covid 19 on the expected profit

or loss. This number can be positive (higher value due to Covid 19)

6 This section is for the Non-Focus IntLobs on the IntLoB granularity on an optional basis for all information except Business

plan Loss Ratio, Simulated mean of Profit and Loss distribution from IM, Simulated output standard deviation of Profit and

Loss distribution from the IM and 0.995

,

Expected profit and loss - discounted

or negative (lower value due to Covid 19). Please provide the absolute deviation in EUR.




PR SCR

Please estimate the impact value of Covid 19 on the SCR. This Number can be positive (higher PR SCR) or negative (lower

PR SCR). Please provide the absolute deviation in EUR.



Comment

C0600 Premium Risk Quant.

Gross/Net Comments

Provide any information necessary to understand the data provided

on the respective granularity. For YE 2020 particular describe concisely your methodology for

Covid 19 impact assessment

Table 16: QT_PR shared Net Disc. (02_01 | 02_02 | 02_03)


Section: The data are provided net (for QT_PR_02_01, QT_PR_02_02, QT_PR_02_02) of reinsurance recoverables, on an discounted basis. 7

C0570 Simulated mean of Profit and Loss distribution from IM

This is the mean of the profit and loss distribution. It is the output obtained based on the simulation process (net of reinsurance and on

a discounted basis).

C0580 Simulated output standard

deviation of Profit and Loss distribution from the IM

This is the standard deviation of the Profit and Loss distribution. It

is the output obtained based on the simulation process (net of reinsurance and on a discounted basis).

C0590 … C0840 0.05 … 0.999 The percentiles required in the table related to the Profit and Loss distribution obtained based on the simulation process (net of

reinsurance and on a discounted basis).

The data are provided net of reinsurance, on an discounted basis.

COVID-19

C0850 Premium Risk P&L (incl. Man-made CAT)

(for YE20 & YE19)

Premium Risk P&L for current year in line with P&L attribution:

Payment increased with the BE Claims Provision for the current accident year plus the expenses and commission minus the written

premium and plus the variation of the Best Estimate Premium Provision (including BBNI).

For this P&L natural catastrophes should be excluded and man-made catastrophes should be included.



Expected profit and loss -

discounted

Please estimate the impact value of Covid 19 on the expected profit

or loss. This number can be positive (higher value due to Covid 19) or negative (lower value due to Covid 19). Please provide the

absolute deviation in EUR.

7 This section is for the Non-Focus IntLobs on the IntLoB granularity on an optional basis for all information Simulated mean of

Profit and Loss distribution from IM, Simulated output standard deviation of Profit and Loss distribution from the IM and

0.995

,




PR SCR


This Number can be positive (higher PR SCR) or negative (lower PR SCR). Please provide the absolute deviation in EUR.



Comment

C0880 Premium Risk Quant.

Gross/Net Comments


on the respective granularity.

For YE 2020 particular describe concisely your methodology for Covid 19 impact assessment

4.4. QT_QL_CAT: Quantitative and Qualitative (expl.) CAT Risk

This section collects information related to CAT risk explicitly modelled and reported for SF and IM on

the way to the overall Non-Life underwriting risk.

This tab provides a quantitative and qualitative overview on the CAT Risk decomposition of:

01_01: Premium, sums insured and exposure by region and direct/reinsurance.

01_02: Premium income by type of contract.

01_03: SCR by IM and SF.

01_04, 01_05 and 01_06: Distribution of losses from Catastrophe Perils broken down in gross

and net of reinsurance on three layers of granularity (Overall/SF/IM, S2LoB, IntLoB).

02_04, 02_05 and 02_06: Exposure by country on three layers of granularity (Overall/SF/IM,

S2LoB, IntLoB).

03_04, 03_05 and 03_06: Exposure by region on three layers of granularity (Overall/SF/IM, S2LoB, IntLoB).

Table 17: QT_QL_CAT overview

Outputs of the

model

Exposure by

European countries

Exposure by SF

regions

Overall and break down along SF and IM 01_04 02_04 03_04

Breakdown by S2Lob 01_05 02_05 03_05

Breakdown by IntLoB 01_06 02_06 03_06

The Perils are populated from the GEN_SEG tab (please file them first).

These tabs are requested for submissions at YE18, YE19 and YE20 and not for submissions at

YE16 and YE17.

,

The OEP-curve: OEP(x) defines the probability that the single event losses in the coming year exceed

the value x. The OEP(x) curve is the cat-risk variant of the cumulative distribution for the single event

losses: Fevent(x). In fact:

OEP(x) = Pevent(Loss>x) = 1 – Fevent(x)

Associated with Fevent(x) we have the density fevent(x) for single event losses:

fevent(x) = dFevent(x)/dx

The AEP-curve: AEP(x) is the probability that the total losses for all events in the coming year exceed

the value x. AEP(x) = Pyear (Loss>x) = 1 – Fyear(x)

Since EOP and AEP are cumulative distributions, the mean and standard deviation for EOP and AEP

curves have to interpreted in terms of the associated densities. In the context of the OEP the term mean

should be understood as the mean for the density fevent(x), which thus corresponds to the average event

loss in the coming year. For the AEP the mean thus yields the average annual loss.

Table 18: QT_QL_CAT_01_01


C0010 Gross Annual Premium Report the gross annual premium by SF region for direct and indirect business. Use the category “unallocated” if a Gross Annual

Premium cannot be attributed to a SF region.

C0020 Total Sum Insured Report the total sum insured by SF region for direct and indirect

business. Use the category “unallocated” if a sum insured cannot be attributed to a SF region. The total sum should be interpreted as the

probable maximal loss.

C0030 Exposure Report the exposure by SF region for direct and indirect business.

Use the category “unallocated” if an exposure insured cannot be attributed to a SF region.

Table 19: QT_QL_CAT_01_02


C0010 Split of premium income Report the gross annual premium income by direct insurance, reinsurance, and retrocession. Use the category “Other type of

contracts/cover” for contracts/covers that cannot be attributed to the direct insurance, reinsurance or retrocession categories. In this case, provide a concise description of these contracts/covers in Row

R0050.

Table 20: QT_QL_CAT_01_03 CODE ITEM INSTRUCTIONS

C0010 SCR Report the undiversified and diversified SCR by internal model on

different aggregation levels (associated to the corresponding row):

NatCat,

MMCat,

Total Non-Life catastrophe risk

Report the diversification gain, i.e. the difference between

undiversified and diversified SCR for: NatCat,

MMCat,

Total Non-Life catastrophe risk


Same as above but valuing the SCR with the SF methodology.

Table 21: QT_QL_CAT shared (01_04 | 01_05 | 01_06)

The same indicators are requested at different aggregation levels. For tab 01_04, the levels are:

,

Aggregate of all the perils

Aggregate of all the perils that are of “NatCat” type

Aggregate of all the perils that are of “NatCat” type and valued with the IM only

Aggregate of all the perils that are of “NatCat” type and valued with the SF only

Aggregate of all the perils that are of “Man-Made” type

Aggregate of all the perils that are of “Man-Made” type and valued with the IM only

Aggregate of all the perils that are of “Man-Made” type and valued with the SF only

For tab 01_05, the perils are aggregated at a S2LoB level. For tab 01_06, the perils are aggregated using

the internal definition of the undertaking. CODE ITEM INSTRUCTIONS


Provide the SCR valued with the SF methodology.

C0050

Classes (set out at the LoBs row of premium risk template)

impacted by the catastrophe event

Map the IntLoB(s) for Premium Risk impacted by the peril. The IntLoBs should have the same name as in tab GEN_SEG in the

Premium Risk definition (table 02_01). In case multiple IntLoBs are involved, list all of them. Provide

concise explaination if necessary to understand the risk profile.

C0060 Commercially available vendor

model used (if applicable)

If the peril is evaluated with a commercially available model, then

indicate the name of the model.

C0070

Commercially available vendor

model name and version used (if applicable)

If the peril is evaluated with a commercially available model, then

provide its model name and its version.

C0080 Explanatory information (if AEP

loss is not available) Provide a concise explanation if the AEP loss is not available

C0090 Total Sum Insured Report the total sum insured. It should be interpreted as the probable maximal loss.

C0100 Exposure amount

(as defined in column C0110) Report the exposure amount that is the outcome of the measure described in column C0110.

C0110 Exposure metric

(key words or concise

description)

Provide a concise explanation/definition of the exposure used.

Additional Information : Gross

C0120 Total Sum Insured Report the total sum insured on a gross of reinsurance basis. It should be interpreted as the probable maximal loss.

C0130 Solvency Capital Requirement


The Solvency Capital Requirement is on a gross of reinsurance

basis. This cell represents the stand-alone risk of the respective

granularity with the approved risk measure of the Internal Model.

Additional Information : Net

C0140 Total Sum Insured

Report the total sum insured on a net of reinsurance basis. It

should be interpreted as the probable maximal loss.

C0150

Solvency Capital Requirement

Solvency Capital Requirement consistent with the overall Non-Life

Underwriting Risk reported. The Solvency Capital Requirement is on a net of reinsurance

basis.


Simulated mean from model : Gross

,

C0160 OEP based mean

Provide the mean based on OEP distribution and on a gross of reinsurance basis

C0170 AEP based mean

Provide the mean based on AEP distribution and on a gross of reinsurance basis

C0180 Annual loss based mean

Provide the mean based on annual loss (potential adjustments made to the AEP to take into account non-modelled risks)

distribution and on a gross of reinsurance basis.

Simulated mean from model : Net

C0190 OEP based mean

Provide the mean based on OEP distribution and on a net of reinsurance basis

C0200 AEP based mean

Provide the mean based on AEP distribution and on a net of reinsurance basis

C0210 Annual loss based mean

Provide the mean based on annual loss (potential adjustments made to the AEP to take into account non-modelled risks)

distribution and on a net of reinsurance basis.

Simulated standard deviation from model : Gross

C0220 OEP based standard deviation

Provide the standard deviation based on OEP distribution and on a

gross of reinsurance basis

C0230 AEP based standard deviation

Provide the standard deviation based on AEP distribution and on a

gross of reinsurance basis

C0240 Annual loss based standard

deviation

Provide the standard deviation based on annual loss (potential

adjustments made to the AEP to take into account non-modelled risks) distribution and on a gross of reinsurance basis.

Simulated standard deviation from model : Net

C0250 OEP based standard deviation

Provide the standard deviation based on OEP distribution and on a net of reinsurance basis

C0260 AEP based standard deviation

Provide the standard deviation based on AEP distribution and on a net of reinsurance basis

C0270 Annual loss based standard

deviation

Provide the standard deviation based on annual loss (potential adjustments made to the AEP to take into account non-modelled risks) distribution and on a net of reinsurance basis.

0.75 to 0.999: Gross

C0280, C0340, C0400, …, C0760

OEP loss Provide the corresponding quantile based on OEP distribution and on a gross of reinsurance basis

C0290, C0350, C0410, …, C0770

AEP loss Provide the corresponding quantile based on AEP distribution and on a gross of reinsurance basis

C0300, C0360, C0420, …, C0780 Annual loss

Provide the corresponding quantile based on annual loss (potential adjustments made to the AEP to take into account non-modelled

risks) distribution and on a gross of reinsurance basis.

0.75 to 0.999: Net

C0310, C0370,

C0430, …, C0790 OEP loss

Provide the corresponding quantile based on OEP distribution and

on a net of reinsurance basis

C0320, C0380,

C0440, …, C0800 AEP loss

Provide the corresponding quantile based on AEP distribution and

on a net of reinsurance basis

C0330, C0390,

C0450, …, C0810 Annual loss

Provide the corresponding quantile based on annual loss (potential

adjustments made to the AEP to take into account non-modelled risks) distribution and on a net of reinsurance basis.

COVID-19 Gross / Net

C0820/ C0850 P&L Nat Cat Risk (for YE20 & YE19)

Cat Risk, P&L for current year in in line with P&L attribution: Payment increased with the BE Claims Provision for the current

accident year plus the expenses and commission.

For this P&L natural catastrophes should be included and man-made catastrophes should be excluded.

,


C0830/ C0860 Covid 19 Impact assessment on Expected profit or loss -

discounted

Please estimate the impact value of Covid 19 on the expected profit or loss. This number can be positive (higher value due to Covid 19) or negative (lower value due to Covid 19). Please provide the

absolute deviation in EUR.



C0840/C0870 Covid 19 Impact assessment on

Cat SCR


This Number can be positive (higher Cat SCR) or negative (lower Cat SCR). Please provide the absolute deviation in EUR.



Comment

C0880

Cat Risk Quant.

Comments


on the respective granularity. For YE 2020 particular describe concisely your methodology for

Covid 19 impact assessment


The same instructions for aggregation apply than for tabs 01_04, 01_05 and 01_06. Report information (exposure) related to the respective country for the corresponding aggregation level.


C0010 AL Albania

C0020 AT Austria

C0030 BE Belgium

C0040 BG Bulgaria

C0050 CH Switzerland

C0060 CY Cyprus

C0070 CZ Czech Republic

C0080 DE Germany

C0090 DK Denmark

C0100 EE Estonia

C0110 EL Greece

C0120 ES Spain

C0130 FI Finland

C0140 FR France

C0150 HR Croatia

C0160 HU Hungary

C0170 IE Ireland

C0180 IT Italy

C0190 LI Liechtenstein.

,

C0200 LT Lithuania

C0210 LU Luxembourg

C0220 LV Latvia

C0230 ME Montenegro

C0240 MT Malta

C0250 NL Netherlands

C0260 NO Norway

C0270 PL Poland

C0280 PT Portugal

C0290 RO Romania

C0300 RS Serbia

C0310 SE Sweden

C0320 SI Slovenia

C0330 SK Slovakia

C0340 UK United Kingdom


Report information (exposure) according to respective SF region definition. The SF regions are defined in Annex III of the Delegated Regulation.


C0010 Northern Europe

This region covers: Denmark (except Greenland), Estonia, Finland, Guernsey, Iceland,

Ireland, Isle of Man, Jersey, Latvia, Lithuania, Norway, Sweden, United Kingdom (except Anguilla, Bermuda, British Virgin Islands, Cayman Islands, Falkland Islands, Gibraltar, Montserrat,

Pitcairn Islands, Saint Helena, Turks and Caicos Islands)

C0020 Western Europe

This region covers:

Austria, Belgium, France (except French Guiana, French Polynesia, Guadeloupe, Martinique, Mayotte, New Caledonia, Réunion, Saint

Barthélemy, Saint Martin, Saint Pierre and Miquelon, Wallis and Futuna), Germany, Liechtenstein, Luxembourg, Monaco, Netherlands (except Aruba, Bonaire, Curaçao, Saba, Sint Eustatius,

Sint Maarten), Switzerland

C0030 Eastern Europe

This region covers:

Belarus, Bulgaria, Czech Republic, Hungary, Moldova, Poland, Romania, Russia, Slovakia, Ukraine

C0040 Southern Europe

This region covers: Albania, Andorra, Bosnia and Herzegovina, Croatia, Cyprus, the former Yugoslav Republic of Macedonia, Gibraltar, Greece, Italy,

Malta, Montenegro, Portugal, San Marino, Serbia, Slovenia, Spain, Vatican City State

C0050 Central and Western Asia

This region covers: Armenia, Azerbaijan, Bahrain, Georgia, Iraq, Israel, Jordan,

Kazakhstan, Kuwait, Kyrgyzstan, Lebanon, Oman, Qatar, Saudi Arabia, Syria, Tajikistan, Turkey, Turkmenistan, United Arab Emirates, Uzbekistan, Yemen

C0060 Eastern Asia This region covers: China, Japan, Mongolia, North Korea, South Korea, Taiwan

C0070 South and South-Eastern Asia This region covers: Afghanistan, Bangladesh, Bhutan, Brunei, Burma/Myanmar,

Cambodia, India, Indonesia, Iran, Laos, Malaysia, Maldives, Nepal,

,

Pakistan, Philippines, Singapore, Sri Lanka, Thailand, East Timor, Vietnam

C0080 Oceania

This region covers: American Samoa, Australia, Cook Islands, Fiji, French Polynesia,

Guam, Kiribati, Marshall Islands, Micronesia, Nauru, New Caledonia, New Zealand, Niue, Northern Mariana Islands, Palau, Papua New Guinea, Pitcairn Islands, Samoa, Solomon Islands,

Tonga, Tuvalu, Vanuatu, Wallis and Futuna

C0090 Northern Africa

This region covers:

Algeria, Benin, Burkina Faso, Cameroon, Cape Verde, Central African Republic, Chad, Côte d'Ivoire, Egypt, Gambia, Ghana, Guinea, Guinea-Bissau, Liberia, Libya, Mali, Mauritania,

Morocco, Niger, Nigeria, Saint Helena, Senegal, Sierra Leone, South Sudan, Sudan, Togo, Tunisia

C0100 Southern Africa

This region covers: Angola, Botswana, Burundi, Comoros, Democratic Republic of the

Congo, Djibouti, Equatorial Guinea, Eritrea, Ethiopia, Gabon, Kenya, Lesotho, Madagascar, Malawi, Mauritius, Mayotte, Mozambique, Namibia, Congo, Réunion, Rwanda, São Tomé and

Príncipe, Seychelles, Somalia, South Africa, Swaziland, Uganda, Tanzania, Zambia, Zimbabwe

C0110 Northern America excluding the

USA This region covers: Bermuda, Canada, Greenland, Saint Pierre and Miquelon

C0120 Caribbean and Central America

This region covers: Anguilla, Antigua & Barbuda, Aruba, Bahamas, Barbados, Belize, Bonaire, British Virgin Islands, Cayman Islands, Costa Rica, Cuba,

Curaçao, Dominica, Dominican Republic, El Salvador, Grenada, Guadeloupe, Guatemala, Haiti, Honduras, Jamaica, Martinique,

Mexico, Montserrat, Nicaragua, Panama, Puerto Rico, Saint Barthélemy, Saba, Saint Kitts and Nevis, Saint Lucia, Saint Martin, Saint Vincent and the Grenadines, Sint Eustatius, Sint Maarten,

Trinidad and Tobago, Turks and Caicos Islands, US Virgin Islands

C0130 Eastern South America

This region covers:

Brazil, Falkland Islands, French Guiana, Guyana, Paraguay, Suriname, Uruguay

C0140 Northern, southern and western

South America This region covers: Argentina, Bolivia, Chile, Colombia, Ecuador, Peru, Venezuela

C0150 North-east United States of

America

This region covers: Connecticut, Delaware, District of Columbia, Maine, Maryland, Massachusetts, New Hampshire, New Jersey, New York,

Pennsylvania, Rhode Island, Vermont

C0160 South-east United States of

America

This region covers:

Alabama, Arkansas, Florida, Georgia, Kentucky, Louisiana, Mississippi, North Carolina, Puerto Rico, South Carolina,

Tennessee, Virginia, West Virginia

C0170 Mid-west United States of

America

This region covers:

Illinois, Indiana, Iowa, Kansas, Michigan, Minnesota, Missouri, Nebraska, North Dakota, Ohio, Oklahoma, South Dakota, Wisconsin

C0010

Western United States of America

This region covers: Alaska, Arizona, California, Colorado, Hawaii, Idaho, Montana,

Nevada, New Mexico, Oregon, Texas, Utah, Washington, Wyoming

,

4.5. QT_CS: Quantitative information for Credit and Suretyship

This tab provides additional risk and modelling information for credit and suretyship broken down in gross and net of reinsurance on three layers of granularity (Overall/SF/IM, S2LoB, and IntLoB)

considering premium risk, reserve risk and aggregate levels.

It has to be filled by undertakings for which:

Their internal model covers, even partially, the S2LoBs 9, 21 and 28.

The gross earned premium for credit and suretyship at YE2019 represents 10% of the total gross earned premium at YE 2019 or the gross earned premium for credit and suretyship at YE2019

is greater than 100 million of Euros.

The requested quantitative information is related only to this business and shall exclude any other

business, e.g. other IntLoBs or non-insurance related business run by the company. For S2LoB 28, information is expected to be related only to credit and suretyship.

The IntLoBs are selected from the GEN_SEG tab where the IntLoB is associated to Credit and

Suretyship (direct, proportional reinsurance and property non proportional reinsurance).

The information requested in this tab is additional for Credit and Suretyship, hence the

participants are also expected to fill the other tabs (that use the granularity at S2LoB and IntLoB)

to provide the general information.

The overall structure of the sheet is the following:

Table 24: QT_CS overview

Gross of

Reinsurance

Net of

Reinsurance

Overall premium risk and break down along SF and IM

01_01 02_01

Premium risk breakdown by S2Lob 01_02 02_02

Premium risk breakdown by IntLoB 01_03 02_03

Overall reserve risk and break down along SF and IM

03_01 04_01

Reserve risk breakdown by S2Lob 03_02 04_02

Reserve risk breakdown by IntLoB 03_03 04_03

Overall aggregate risk and break down

along SF and IM

05_01 06_01


along S2LoB

05_02 06_02


by product class (IM only)

05_03 06_03

This table shows that three possible aggregation levels are considered in this tab:

Premium Risk (Some CAT risk, like Man-Made for Credit and Suretyship can be allocated at

this level if it cannot be separated).

Reserve Risk

Aggregate (Premium Risk, Reserve Risk and Cat Risk)

Aggregate by product class: Diversification effects between products of the same class are

allowed.

,

Table 25: QT_CS shared Gross/Net (01_01 | 01_02 | 01_03 | 02_01 | 02_02 | 02_03)


Coverage period

C0010 Average coverage period of the credit insurance policies

Exposure-weighted average coverage period in years of the credit insurance policies outstanding at the reporting date.

C0020

Average coverage period of the suretyship bonds

Exposure-weighted average coverage period in years of the suretyship bonds outstanding at the reporting date. The coverage period should correspond to the maturity/duration of the suretyship

bond.

Risk Capital: SCR break-down by Standard Formula definition

In this subsection, the SCR is decomposed accordingly to the definition of credit and suretyship S2LoB.

C0030

SCR for insolvencies SCR for premium risk for credit insurance policies in the class of

insolvencies. This class is a bucket that contains all contracts that cannot be attributed to the other classes, namely trade credit, instalment credit, mortgages, agricultural credit and suretyship.

C0040

SCR trade credit SCR for premium risk for credit insurance policies in the class of trade credit

C0050

SCR for instalment credit SCR for premium risk for credit insurance policies in the class of instalment credit

C0060

SCR for mortgages SCR for premium risk for credit insurance policies in the class of mortgages

C0070

SCR for agricultural credit SCR for premium risk for credit insurance policies in the class of agricultural credit

C0080 SCR for suretyship SCR for premium risk for suretyship bonds

Risk Capital: SCR break-down by product classes In this subsection, the SCR is decomposed accordingly to the definition of product classes (see GEN_SEG, Error! Reference

source not found., column C410).

C0090 SCR for Trade Credit

Insurance/Commercial risk/Comprehensive cover

SCR for premium risk for credit insurance policies in the class of

Commercial risk/ Comprehensive cover

C0100 SCR for Trade Credit Insurance/Commercial risk /Excess-of-Loss / Top-up

SCR for premium risk for credit insurance policies in the class of Commercial risk/ Excess of Loss / Top-up

C0110

SCR for Trade Credit Insurance/Commercial risk

/Single risk

SCR for premium risk for credit insurance policies in the class of Commercial risk/ Single risk

C0120

SCR for Trade Credit

Insurance/Political risk/


Commercial risk/ Political risk

C0130

SCR for Trade Credit

Insurance/Other/


Other

C0140

SCR for Suretyship/Bonding/ SCR for premium risk for suretyship bonds in the class of bonding

C0150

SCR for Suretyship/Other/ SCR for premium risk for suretyship bonds in the class of other

Exposure and model information

C0160 Exposure Report the total exposure as defined in QT_CS_EX.

This cell is optional for undertakings able to report this information with the granularity of table QT_CS_EX.

C0170 Collateral Report the total collateral as defined in QT_CS_EX. This cell is optional for undertakings able to report this information

with the granularity of table QT_CS_EX.

C0180 Estimated Probability of Default Report the estimated probability of default as defined in

QT_CS_EX. This quantity is expected to be exposure-weighted. This cell is optional for undertakings able to report this information with the granularity of table QT_CS_EX.

,

C0190 Estimated Loss Given Default Report the estimated loss given default as defined in QT_CS_EX. This quantity is expected to be exposure-weighted.

This cell is optional for undertakings able to report this information with the granularity of table QT_CS_EX.

C0200 Realised Probability of Default Report the realised probability of default as defined in QT_CS_EX. This quantity is expected to be exposure-weighted. This cell is optional for undertakings able to report this information

with the granularity of table QT_CS_EX.

C0210 Realised Loss Given Default Report the realised loss given default as defined in QT_CS_EX.

This quantity is expected to be exposure-weighted. This cell is optional for undertakings able to report this information with the granularity of table QT_CS_EX.



Duration

C0010 Average duration of the reserve

for credit insurance policies (with recoveries)

Duration of the reserve (computed taking into account potential

recoveries) in years for the credit insurance policies outstanding at the reporting date.

C0020

Average duration of the reserve for suretyship bonds (with

recoveries)

Duration of the reserve (computed taking into account potential recoveries) in years for the suretyship bonds outstanding at the reporting date.

Claims

C0030

Total number of non-payment notification

Total number of non-payment notifications signalled by policyholders during the reporting year that might not lead to a

claim.

C0040

Total amount of claims (without

recoveries)

Total amount of claims incurred during the reporting year without

any recovery.

C0050

Total amount of claims (with

recoveries)

Total amount of claims incurred during the reporting year where

recoveries are subtracted.

Best estimate

C0060 BE of claims for credit and

suretyship (without recoveries)

Best estimate for claims for credit insurance policies and suretyship

bonds not taking into account potential recoveries

C0070 BE of claims for credit and

suretyship (with recoveries)

Best estimate for claims for credit insurance policies and suretyship

bonds taking into account potential recoveries

Risk Capital: SCR break-down by Standard Formula definition

In this subsection, the SCR is decomposed accordingly to the definition of credit and suretyship S2LoB.

C0080 SCR for insolvencies SCR for reserve risk for credit insurance policies in the class of

insolvencies. This class is a bucket that contains all contracts that cannot be attributed to the other classes, namely trade credit, instalment credit, mortgages, agricultural credit and suretyship.

C0090 SCR trade credit SCR for reserve risk for credit insurance policies in the class of trade credit

C0100 SCR for instalment credit SCR for reserve risk for credit insurance policies in the class of instalment credit

C0110 SCR for mortgages SCR for reserve risk for credit insurance policies in the class of mortgages

C0120 SCR for agricultural credit SCR for reserve risk for credit insurance policies in the class of agricultural credit

C0130 SCR for suretyship SCR for reserve risk for suretyship bonds

Risk Capital: SCR break-down by product classes In this subsection, the SCR is decomposed accordingly to the definition of product classes (see GEN_SEG, Error! Reference

source not found., column C410).

,

C0140 SCR for Trade Credit Insurance/Commercial

risk/Comprehensive cover

SCR for reserve risk for credit insurance policies in the class of Commercial risk/ Comprehensive cover

C0150 SCR for Trade Credit

Insurance/Commercial risk /Excess-of-Loss / Top-up

SCR for reserve risk for credit insurance policies in the class of

Commercial risk/ Excess of Loss / Top-up

C0160 SCR for Trade Credit Insurance/Commercial risk

/Single risk

SCR for reserve risk for credit insurance policies in the class of Commercial risk/ Single risk

C0170 SCR for Trade Credit Insurance/Political risk/

SCR for reserve risk for credit insurance policies in the class of Commercial risk/ Political risk

C0180 SCR for Trade Credit Insurance/Other/

SCR for reserve risk for credit insurance policies in the class of Other

C0190 SCR for Suretyship/Bonding/ SCR for reserve risk for suretyship bonds in the class of bonding

C0200 SCR for Suretyship/Other/ SCR for reserve risk for suretyship bonds in the class of other



Risk Capital:

C0010 SCR SCR at aggregate level for credit insurance policies and suretyship bonds.

Risk Capital: Standard Formula

C0020 Standard Formula CAT SCR Value

[recession, large defaults;]

Provide the SCR valued with the SF methodologyfor CAT risk related to credit and suretyship, i.e. recession and large defaults.

Modelled results

C0030 Simulated (output) mean This is the mean of the profit and loss distribution forecast

according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output obtained based on the simulation process.


This is the standard deviation of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for

the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis).

C0050 to C0300 0.05, …, 0.999 The undertaking is expected to indicate the amounts of the percentiles required in the table related to the profit and loss

distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output

obtained based on the simulation process. If the risk measure definition is in line with the risk measure

definition of article 101 of the Solvency 2 Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR.

4.6. QT_CS_EX: Quantitative Credit and Suretyship Exposure

This tab is intended to collect additional exposure information for credit and suretyship. It has to be

filled by undertaking which fill tab QT_CS.

The information requested in this table is additional for Credit and Suretyship, hence the

participants are also expected to fill the other tabs (that use the granularity at S2LoB and IntLoB) to provide the general information.

,

In the excercise, the following definitions are adopted for credit and suretyship:

Buyer/customer (credit insurance): The buyer is a company which buys a product or service to

a company (customer) which bought a credit insurance policy to the credit insurer.

Principal/obligee (suretyship): The principal is a company has contractual obligations towards a company (obligee). The obligee will benefit from the payment of the nominal of the principal

does not fulfil its obligations.

Exposure : For credit insurance policies, the exposure is the credit limit at reporting date. For

suretyship bonds, the exposure is the nominal of the bond at reporting date.

Geography: Where geographical is requested, it has to be reported for the buyer/principal or the customer/obligee depending on the indicator:

o Exposure: Report exposure by customer/oblige

o Probability of default (both estimated and realised): Report the probability of default

related to a given geographic area. It is the probability that a buyer (for credit insurance)

/ a principal (for suretyship) might be subject to default/ not fulfil its contractual obligation for a given geographic area.

o Loss given default (both estimated and realised): Report the loss given default for the

country of the buyer/principal.

o Collateral: Report geographic origin of the collateral deposited by the principal that may

have to deposit a collateral.

Default: The default is interpreted in a broad way, namely as any event triggering the coverage by the credit insurance policy/suretyship bond.

Rating : For credit insurance policies, the rating is the credit rating of the buyer. For suretyship

bonds, the exposure is the nominal of the bond at reporting date.

This table is organised in sub-tables defined by which are combination of quantitative indicators as well

as geographical and direct/indirect breakdown. Furthermore, within each sub-tables there is a

differention by exposure (seven) and rating classes (12), at the exception of the last rows (see below).

The seven exposure classes are defined in the following table:

Table 28: QT_CS_EX exposure classes

Insured Sum (in EUR)

01 Lower than 50,000

02 Greater than 50,000, lower than 250,000

03 Greater than 250,000, lower than 1,000,000

04 Greater than 1,000,000, lower than 10,000,000



07 Greater than 150,000,000

The credit rating classes range from 00 to 10, where 00 is the worst credit rating possible and 10 is the

best one. The class. “NA” stands for no credit rating available. The undertakings are expected to map their internal ratings into these categories. If the internal rating scale is based on 11+1 (for NA) classes,

then the internal rating classes can be used directly. If not, in a first time map the internal rating classes

to the scale from 0 to 10 and the non-available ratings to “NA”. In a second time, when a quantity that

depends on the internal rating class has to be reported (e.g. probability of default), weighted by exposure

relatively to exposure in the mapped internal rating classes.

The quantitative information is a combination of a qualitative indicator and a breakdown by geographic

area and direct or indirect business. The quantitative indicators, defining the rows of the table are

described in the next table.

,

Table 29: QT_CS_EX _01_01 (description of the rows)


R0010 to R0120, R0730 to R0790

Exposure For credit insurance policies, the exposure is the credit limit at reporting date.

For suretyship bonds, it is the nominal of the bond at reporting date.

R0130 to R0240 Collateral Report the total value of collateral (of any form) received for the suretyship bonds at reporting date.

R0250 to R0360 Estimated Probability of Default The modelled probability of default (within one year horizon if possible). This quantity is expected to be exposure-weighted.

R0370 to R0480 Estimated Loss Given Default The modelled loss given default/recovery rate during the reporting year. It is defined as the ratio of total loss of defaulted buyers (taking into account, if applicable the effect of contract clauses

(proportional or absolute deductible and limit), recollection (recuperation before claims payment by client) and recovery

(recuperation after claims payment by client)) divided by the total exposure for these buyers. This quantity is expected to be exposure-weighted.

R0490 to R0600 Realised Probability of Default The realised/observed probability of default during the last reporting year. Discard the transitions that might occur during the

year prior to default, i.e. any observed default is associated to its rating class at the beginning of the year. This quantity is expected to be exposure-weighted.

R0610 to R0720 Realised Loss Given Default The realised/observed loss given default/recovery rate during the last reporting year. This observation should be consistent with the

estimated loss given default. This quantity is expected to be exposure-weighted.

The breakdown by geographic area and direct or indirect business, defining the colums of the table, is

described in the next table: Table 30: QT_CS_EX _01_01 (description of the columns)


C0010 to C0070

Direct (suretyship only) Report information related to direct business (for suretyship only).

C0150 to C0700 Direct (credit insurance only) Report information related to direct business (for credit insurance

only).

C0080 to C0140,

Proportional Reinsurance

(suretyship only)

Report information related to reinsurance business (proportional

reinsurance for suretyship only)

C0710 to C1260 Proportional Reinsurance (credit

insurance only)

Report information related to reinsurance business (proportional

reinsurance for credit insurance only)

C0150 to C0210,

C0710 to C0770

Belgium Report information related to Belgium (for credit insurance only).

C0220 to C0280,

C0780 to C0840

France Report information related to France (including DOM TOM) (for

credit insurance only).

C0290 to C0350,

C0850 to C0910

Germany - Austria Report information related to Germany and Austria (for credit

insurance only).

C0360 to C0420,

C0920 to C0980

Italy Report information related to Italy (for credit insurance only).

C0430 to C0490,

C0990 to C1050

Spain Report information related to Spain (including islands and

enclaves) (for credit insurance only).

C0500 to C0560, C1060 to C1120

United Kingdom Report information related to United Kingdom (including British overseas territories) (for credit insurance only).

C0570 to C0630, C1130 to C1190

Other EEA Report information related to European Economic Area countries except the countries reported above (namely Belgium, France

,

Germany-Austria, Italy, Spain, and United Kingdom) (for credit insurance only).

C0640 to C0700, C1200 to C1260

Rest of the World Report information related to all the world except Belgium, France, Germany – Austria, Italy, Spain, United Kingdom, and Other EEA

(for credit insurance only).

C0010 to C0140 Worldwide Report worldwide information (for suretyship only)

The localisation is expected to reflect the localisation of the buyer.

Moreover, the matrix defined from columns C0010 to C0140 and the rows from R0010 to R0790 contains data related to suretyship only. The matrix defined from columns C0150 to C1260 and the rows

from R0010 to R0790 contains data related to credit insurance only.

The last rows (from R0730 to R0790) have different structure: It is a split of the exposure by product

class (see GEN_SEG, Error! Reference source not found., C410). The first two sub tables (in rows R0730 to R0770) are for suretyship, while the remaining ones are for credit insurance.

4.7. QT_COR_1: Gross linear output correlation of the SCR distribution (IntLoB & Cat Peril)

IM employ diverse aggregation mechnisms in order to arrive from IntLob and Cat Peril risk capital at

the S2LoBs and the overall NL UW Risk capital. These approaches can be categorised into two major

types of approach (Scenario based aggregation8 and closed form9) or their gradual combination.

For the derivation of scenario based aggregation please use the linear Pearson correlation mechanism to

measure the linear output corelations of the InLoB and Cat Perils. If you are not able to comply with

this methodology, please use the comment section to elaborate your mechanism.

Both aggregation mechanism types can be approximated with a linear correlation matrix. The accuracy

of this approximation depends on how linear the dependency between standalone risks is modelled.

IntLoBs and Cat Perils defined in the GEN_SEG tab create the dimensions of the correlation matrix.

Therefore please file this tab only after all other quantitative tabs are completed for PR, RR, Cat Risk.

These tabs are requested for submissions at YE18, YE19 and YE20 and not for submissions at YE16 and YE17.

Table 31: QT_COR_1 _01_01


C0010 to C00XX R0010 to R00XX

Gross discounted linear correlations

Provide the linear output correlations (between the IntLoBs and Cat Perils) derived from the gross of reinsurance SCR scenario

distribution. If no distribution is available (e.g. in case of an aggregation of SF

IntLoBs or Cat Risk Perils) use the linear correlations used in the aggregation mechanism.

Acceptable values are between -1 and +1.

8 Modelling of aggregation by consistent scenario P&L strips

9 Modelling of SF styled aggregation with (linear) correlation matrix

,

4.8. QT_COR_2: Net linear output correlation of the SCR distribution (IntLoB & Cat Peril)

IM employ diverse aggregation mechnisms in order to arrive from IntLob and Cat Peril risk capital at

the S2LoBs and the overall NL UW Risk capital. These approaches can be categorised into two major types of approach (Scenario based aggregation10 and closed form11) or their gradual combination.

For the derivation of scenario based aggregation please use the linear Pearson correlation mechanism to

measure the linear output corelations of the InLoB and Cat Perils. If you are not able to comply with

this methodology, please use the comment section to elaborate your mechanism

Both aggregation mechanism types can be approximated with a linear correlation matrix. The accuracy

of this approximation depends on how linear the dependency between standalone risks is modelled.

IntLoBs and Cat Perils defined in the GEN_SEG tab create the dimensions of the correlation matrix.

Therefore please file this tab only after all other quantitative tabs are completed for PR, RR, Cat Risk.

These tabs are requested for submissions at YE18, YE19 and YE20 and not for submissions at

YE16 and YE17.

Table 32: QT_COR_2 _01_01


C0010 to C0560

R0010 to R0560

Net discounted

linear correlations

Provide the linear output correlations (between the IntLoBs and

Cat Perils) derived from the net of reinsurance SCR scenario distribution.

If no distribution is available (e.g. in case of an aggregation of SF IntLoBs or Cat Risk Perils) use the linear correlations used in the

aggregation mechanism Acceptable values are between -1 and +1.

5. Qualitative tabs (by IntLoBs)

These tabs (starting by QL_) collect qualitative information:

QL_RR collects qualitative information for Reserve Risk

QL_PR collects qualitative information for Premium Risk

QL_CS collects qualitative specific information for Credit and Suretyship

5.1. QL_RR: Qualitative Information Reserve Risk

This tab is intended to collect qualitative information for Reserve Risk.


Table 33: QL_RR 01_01


Model Development

10 Modelling of aggregation by consistent scenario P&L strips 11 Modelling of SF styled aggregation with (linear) correlation matrix

,

C0010 How has the Gross parameterisation of the IntLoB

changed since the last submission

Select the option that is suitable for parametrisation changes since the last submission for this IntLoB at gross level. Options from a

closed list: - Full reparameterisation: Significant methodological changes

(E.g. new distribution type for IntLoB, new infrastructure/software, new granularity of IntLoBs, introduction of new IntLoB).

- Parameter update: Parameters / expert judgements in the methodology have been updated due to expected or

unexpected reasons. - Minor parameterisation adjustments: Marginal

methodological changes have been applied to the IntLoB.

- No update: The parametrisation is unchanged. Other (Please comment in cell C0020)

C0020 Please describe the main IntLoB changes

Comment field for cell C0010

C0030 How has the Reinsurance parameterisation of the IntLoB

changed since the last submission

Select the option that is suitable for parametrisation changes since the last submission for this IntLoB at net level. Options from a closed list:

- Full reparameterisation: Significant methodological changes

(E.g. new distribution type for IntLoB, new infrastructure/software, new granularity of IntLoBs, introduction of new IntLoB).

- Parameter updateParameters / expert judgements in the methodology have been updated due to expected or unexpected reasons.

- Minor parameterisation adjustments: Marginal methodological changes have been applied to the IntLoB.

- No update: The parametrisation is unchanged - Other (Please comment in cell C0040)

C0040 Please describe the main IntLoB changes


Risk Emergence

C0050 Please describe any business,

legal and management specificities that could explain the

risk emergence rate in this LoB.

E.g: payment in lump sums rather than annuities, claims usually

take several years to be settled, a national law forcing the insurers to compensate the victims within a given time frame…

C0060 Please specify any risk driver that

could explain the risk emergence rate in this LoB.

Please list and describe the risk drivers (e.g. length of

development pattern driven by e.g. court cases, calender-year effects such as claims inflation etc.).

Bodily injury claims

C0070 How is the majority of bodily injury claims treated?


- Lump Sum: B/I claim is settled as a single payment - Annuity: Regular payments of the insurer to a third party

because of a legal obligation. This obligation can relate to

health or life insurance obligation - A combination of Lump sum and Annuity (please explain)

- PPO: Periodic Payment Order is a compensation court award with an annuity characteristic

- Other

C0080 Please provide additional relevant

information

Provide additional information about the treatment of B/I claims

here, which is necessary to judge the treatment of bodily injury claim. Take additional care when ‘other” was choosen.

,

Bodily injury claims (Lump Sum)

C0090 How are Lump Sums (typically) awarded?

In case Lump Sum was selected use options from this closed list: - By court: Case by case decision by court or similar judicial

adiminstration body - Out of court settlement: Agreement reached between the

parties before court decision - Government based compensation scheme (list): List or similar

advices are given by government body on compensating

claims Other -

C0100 Please describe the awardance process

Provide additional information to the awardance process of Lump Sums here, which is necessary to judge the treatment of bodily

injury claim. Take additional care when ‘other” was choosen.

Bodily injury claims (PPO)

C0110 How are PPO (typically)

awarded?

In case Lump Sum was selected use options from this closed list:

- By court

- Out of settlement (before court decision) - Government based compensation scheme (list) - Other

C0120 Please describe the awardance

process

Provide additional information to the awardance process of PPOs

here, which is necessary to judge the treatment of bodily injury claim.. Take additional care when ‘other” was choosen.

Bodily Injury Claims and Annuities

C0130

Share of annuity reserve of the best estimate of this IntLoB is

smaller or equal than

Options from a closed list: - 0% (no annuities)

- 5% - 10% - 15%

- 20% - 25%

- 30% - 35% - 40%

- 45% - 50% - 55%

- 60% - 65%

- 70% - 75% - 80%

- 85% - 90% - 95%

- 100%

Annuity reserve: Share of reserve that is necessary to fulfil the obligations of known/ongoing annuities (i.e.RBNS only).

C0140 Please comment on the

contribution to the respective IntLoB

Additional information of the contribution of the annuity reserve to the IntLoB can be addressed here.

,

C0150

Share of annuity reserve of the best estimate of this S2LoB is

smaller or equal than


- 0% (no annuities) - 5% - 10%

- 15% - 20% - 25%

- 30% - 35%

- 40% - 45% - 50%

- 55% - 60% - 65%

- 70% - 75%

- 80% - 85% - 90%

- 95% - 100%

Annuity reserve: Share of reserve that is necessary to fulfil the obligations of known/ongoing annuities (i.e.RBNS only).


contribution to the respective

S2LoB

Additional information of the contribution of the annuity reserve to the S2LoB can be addressed here.

C0170

What is the dominant risk driver

of awarded annuities


- Longevity - Inflation; e.g. increasing cost for medical care w/o a higher

demand of care - Other Costs: Revaluation of needs/components of the

underlying the claim

- Other

This question relates to annuities of the type RBNS only.


information

Additional information about relevant risk drivers can be

addressed here.

C0190

Uncertainty of awarded annuities

is borne by


- Insurer - Policy holder

- State - Insurer & Policy holder - Insurer & State

- Policy holder & State - All

- Other This question relates to annuities of the type RBNS only.


information Additional information who bears the uncertainty of awarded annuities can be addressed here.

C0210

How are awarded annuities

treated in your data


- Annuity claims included in the triangle: The

payments/outstandings are treated like obligation for property

,

damage and the whole risk is calculated triangulation technique

- Stated in the claims triangle as a lump sum payment, in the development year when the claim is reported (no further treatment): The known annuities are removed of the claims

triangle when they are reported, but further settlement of these annuities is not reflected in the triangle and there is also no further risk modelling (because of non-materiality or risk

transfer) - Awarded annuity claims remain in Triangles (as lump sum),

but biometric risk is treated with live techniques in separate IntLoB: Like case above, but there is a further risk modelling RBNS claims

- Annuity claims are completely erased from Triangles and calculated entirely by life techniques in separate IntLoB: Property damage and B/I is treated separately (this also

includes IBNR Modelling) - Other

C0220

Please describe any additional information on the treatment of

the data necessary to understand the treatment of annuities

Additional information about the treatment in data of awarded annuities can be addressed here. When ‘other” was choosen in the

column before please give a short description here.

C0230 Please describe how bodily injury

claims are treated within your internal model

Provide a brief description of the modelling of B/I claims in reserve risk.Please highlight issues, which are not already addressed in the other questions.

C0240

What is your modelling approach towards awarded annuities


- No separate modelling (Non-Life Techniques) - Cash Flow Projections (Life Techniques) - Other

This question relates to annuities claims of the type RBNS.

C0250

Please describe the technique

employed for awarded annuities

Additional information about modelling approach of awarded

annuities can be addressed here. When ‘other” was choosen in the column before please give a short description here.

C0260

What is your modelling approach towards unawarded annuities

Options from a closed list: - No separate modelling (Non-Life Techniques)

- Cash Flow Projections (Life Techniques) - Other

This question relates to annuities claims of the type IBNR.

C0270 Please describe the technique

employed for unawarded

annuities

Additional information about modelling approach of unawarded annuities can be addressed here. When ‘other” was choosen in the

column before please give a short description here.

C0280

Where is the Risk stemming from

Non-Life Annuities reported?


- Allocated to the underlying LoB in Non-Life - Allocated to a specific LoB for Annuities in the Non-Life

- Allocated to the Risk Category Life - No Risk reported

C0290 Please describe the reporting of risks stemming from Non-Life

Annuities.

Additional information about the reporting of risks stemming from Non-Life Annuities can be addressed here.

,

5.2. QL_PR: Qualitative Information Premium Risk

This tab is intended to collect qualitative information for Premium Risk.


Table 34: QL_PR 01_01 CODE ITEM INSTRUCTIONS

Model Development

C0010

How has the Gross

parameterisation of the IntLoB changed since the last submission

Same as for Reserve risk. Options from a closed list:


C0020 Please describe the main IntLoB

changes with respect to gross

parameterisation


C0030

How has the Reinsurance

parameterisation of the IntLoB changed since the last submission

Same as for Reserve risk. Options from a closed list:


-

C0040

Please describe the main IntLoB

changes with respect to Reinsurance parameterisation


Risk Emergence

C0050

Please describe any business, legal and management

specificities that could explain the

risk emergence rate in this IntLoB.

E.g: payment in lump sums rather than annuities, claims usually take several years to be settled, a national law forcing the insurers to compensate the victims within a given time frame…

C0060

Please specify any risk driver that could explain the risk emergence

rate in this IntLoB.

Please list and describe the risk drivers. (e.g. length of development pattern driven by e.g. court cases, calender-year effects such as claims inflation etc.).

Reinsurance

C0070

Is IntLoB covered by Stop Loss Options from a closed list:

- SL -A stop-loss reinsurance treaty is arranged for this IntLoB.

Moreover select this option if this IntLoB is included in a

stop-loss arrangement that it covers more IntLoB; also aggregate XL treaties are included

- No_SL - Select this option if none stop-loss treaty covers this IntLoB

C0080

Is IntLoB covered by additional Non-Proportional Reinsurance

(XL)

Options from a closed list: - XL - An excess of loss reinsurance treaty is arranged for this

IntLoB. Moreover select this option this IntLoB is included in a excess of loss arrangement that it covers more IntLoB

- No_XL - Select this option if none excess of loss treaty

covers this IntLoB

C0090

Is IntLoB covered by additional

Proportional Reinsurance (QS)


- QS - A quota share reinsurance treaty is arranged for this

IntLoB. Moreover select this option if this IntLoB is included in a quota share arrangement that it covers more IntLoB; Also surplus reinsurance is included.

,

- No_QS - Select this option if none quota share treaty covers this IntLoB

C0100 If additional information is

needed to understand your net

profile please elaborate

Premium information

C0110

Modelling approach Options from a closed list:

- Deterministic For next 12 months, the total amount of premium is a

deterministic value. - Stochastic number of policies

For next 12 months, the total amount of premium is

calculated taking into account a stochastic number of policies and a fixed value for the premium for each single contract.

- Stochastic average premium

For next 12 months, the total amount of premium is calculated taking into account a stochastic average premium

and a deterministic number of policies. - Both (Stochastic number of policies and average premium)

For next 12 months, the total amount of premium is

calculated taking into account stochastic number of policies and a stochastic value for average premium.

- Other

- Select this option if none of the options above is suitable for your internal model.

C0120 If "Other" selected please explain Write an explanation if in C0110 you select Other option.

C0130

How is your Risk/Premium earned.

In the case fixed exposures, the premium will be earned in a linear manner. For single-year contracts, this linear earnings pattern will

occur over 1 year and for multi-year policies, this will occur till the term of the contract. Possibly one additional year for earning the premium can exist if the premiums are not written at January

1st. However, for policies with variable exposure, the earnings pattern

is not expected to be linear. Indeed, in multi-year engineering policies, the nature of the exposure is such that it can increase

strongly over the years. Or some engineering guarantees (e.g. ALOP or Business Interruption) might mostly be trigerred at the term of the contract. For the policies, the earnings pattern is

therefore expected to be fat-tailed or non-linear. Options from a closed list:

- Linear (single year contracts)

- Linear (multiyear contracts more than 2 years) - Linear multiyear contracts (more than 7 years) - FAT tailed (Multi-Year contracts with risk at the end of the

contract) - FLAT tailed (Risk earned within 1 year) - Other (please explain)


Expense information

C0150


- Stochastic:the expenses are modelled by means of a

stochastic model (closed formula or Monte Carlo)

,

- Deterministic: the expenses are modelled by means of a deterministicmodel

- Not Modelled: the expenses are not modelled - Other

Select this option if none of the options above is suitable for

your internal model.


Lapse

C0170


- Stochastic: the lapse risk is modelled by means of a stochastic

model (closed formula or Monte Carlo)

- Deterministic: the lapse risk is modelled via a deterministic model

- Not Modelled

the lpse risk is not modelled - Other

Select this option if none of the options above is suitable for your internal model.

C0180 If "Other" selected please explain

Bodily injury claims

C0190

How is the majority of bodily

injury claims treated?


- Lump Sum: B/I claim is settled as a single payment

- Annuity: Regular payments of the insurer to a third party because of a legal obligation. This obligation can relate to health or life insurance obligation

- A combination of Lump sum and Annuity (please explain) - PPO: Periodic Payment Order is a compensation court award

with an annuity characteristic

- Other

Remark: Copy & paste from QL_RR if the answer for is the same (don’t leave it blank). Differences between RR and PR can arise if there where changes reasonly.

-

C0200

Please provide additional relevant

information

Additional information about the treatment of B/I claims can be

addressed here. When ‘other” was choosen in the column before please give a short description here.. If there where reasonly changes, which are material for PR, please explain.

Bodily injury claims (Lump Sum)

C0210

How are Lump Sums (typically) awarded?

Options from a closed list: - By court

- Out of settlement (before court decision) - Government based compensation scheme (list)

- Other Remark: Copy & paste from QL_RR if the answer for is the same

(don’t leave it blank). Differences between RR and PR can arise if there where changes reasonly. -

C0220

Please describe the awardance process

Additional information to the awardance process of Lump Sums can be addressed here. When ‘other” was choosen in the column

before please give a short description here. If there where reasonly changes, which are material for PR, please explain.

,

Bodily injury claims (PPO)

C0230

How are PPO (typically) awarded?

Options from a closed list: - By court

- Out of settlement (before court decision) - Government based compensation scheme (list)

- Other Remark: Copy & paste from QL_RR if the answer for is the same

(don’t leave it blank). Differences between RR and PR can arise if there where changes reasonly. -

C0240

Please describe the awardance process

Additional information to the awardance process of PPOs can be addressed here. When ‘other” was choosen in the column before

please give a short description here. If there where reasonly changes, which are material for PR, please explain.

Bodily Injury Claims and Annuity

C0250

Share of annuities of the expected result in this IntLoB is smaller or

equal than


- 0% - 5% - 10%

- 15% - 20% - 25%

- 30% - 35%

- 40% - 45% - 50%

- 55% - 60% - 65%

- 70% - 75%

- 80% - 85% - 90%

- 95% - 100%


contribution to the respective

IntLoB

Additional information of the contribution of the annuity reserve to the IntLoB can be addressed here.

C0270

Share of annuity of the expected

result in this S2LoB is smaller or equal than


- 0%

- 5% - 10% - 15%

- 20% - 25% - 30%

- 35% - 40% - 45%

- 50% - 55%

- 60%

,

- 65% - 70%

- 75% - 80% - 85%

- 90% - 95% - 100%

C0280

Please comment on the

contribution to the respective S2LoB

Additional information of the contribution of the annuity reserve

to the S2LoB can be addressed here.

C0290 Please describe how bodily injury

claims are treated within your

internal model

Provide a brief description of the modelling of B/I claims in premium risk.Please highlight issues, which are not already

addressed in the other questions.

C0300

What is your modelling approach

towards annuities


- No separate modelling (Non-Life Techniques) - Cash Flow Projections (Life Techniques)

- Other

C0310

Please describe the technique

employed for annuities

Additional information about modelling approach of annuities can

be addressed here. When ‘other” was choosen in the column before please give a short description here.

C0320

Where is the Risk stemming from Non-Life Annuities reported?

Options from a closed list: - Allocated to the underlying LoB in Non-Life

- Allocated to a specific LoB for Annuities in the Non-Life - Allocated to the Risk Category Life

- No Risk reported

C0330 Please describe the reporting of risks stemming from Non-Life

Annuities.

Additional information about the reporting of risks stemming from Non-Life Annuities can be addressed here.

5.3. QL_CS: Qualitative information C&S

This tab is intended to collect qualitative specific information for credit and suretyship. It has to be filled

by undertaking which fill tab QT_CS.

The information requested in this table is additional for Credit and Suretyship, hence the

participants are also expected to fill the other tabs (that use the granularity at S2LoB and IntLoB).

The IntLoBs are selected from the GEN_SEG tab where the IntLoB is associated to Credit and

Suretyship (direct, proportional reinsurance and property non proportional reinsurance).

Table 35: QL_CS 01_01


Modelling methodology

C0010 Does the C&S model belong to

which categories (premium risk)?

Select the category which is most suitable for the model. Options from a closed list:

- Credit VaR – The model is comparable to KMV, Credit VaR,

Credit Risk+ models or their extensions.

,

- Intensity based – This model is comparable to the Cox model or its extensions.

- Frequency-Severity – The model is comparable to “classical” frequency-severity models or their extensions

- Other – Select this option if the model does not fit in the

above categories. Provide a brief description in the comment field C0020.

C0020 Please provide your rationale for

this modelling choice for the

modelling of premium risk

Provide concise complementary information to understand your rationale for this modelling choice for the modelling of premium

risk, in particular if the answer “Other” is selected.

C0030 Does the C&S model belong to which categories (reserve risk)?

Select the category which is most suitable for the model. Options

from a closed list:

- Credit VaR – The model is comparable to KMV, Credit VaR, Credit Risk+ models or their extensions.

- Intensity based – This model is comparable to the Cox model

or its extensions - Frequency-Severity – The model is comparable to “classical”

frequency-severity models or their extensions

- Claims triangle – The model is comparable to “classical” triangle based models or their extensions.

- Other – Select this option if the model does not fit in the above categories. Provide a brief description in the comment field C0040.

C0040

Please provide your rationale for

this modelling choice for reserve risk

Provide concise complementary information to understand your

rationale for this modelling choice for reserve risk, in particular if the answer “Other” is selected.

C0050 Please provide your definition of

default:

Select the category which is most suitable for the definition of default in the model. Options from a closed list:

- 30 days of delayed payment. - 60 days of delayed payment.

- 90 days of delayed payment. - juridical insolvency – Select this option if default occurs

when it comes from a juridical decision

- Combination of both – Combination of delayed payment and juridical insolvency

- Other – Select this option if the definition of default does not

fit in the above categories. Provide a brief description in the comment field C0060.

C0060 Please provide your definition of

default: Comment


definition of default, in particular if option “Other like juridical insolvency” is selected.

C0070 How is the default for C&S

simulated?

Select the category which is most suitable for the simulation of default in the model. Options from a closed list:

- implicit (i.e. factor driven) – The default is defined implicitly, i.e. a factor or their combination is greater or lower than a threshold (deterministic or stochastic).

- explicitly – The default is extracted from a random variable, e.g. a Bernoulli distribution.

- not simulated – The default is not simulated within the model.

C0080 Default simulation: Comment Provide concise complementary information to understand your

simulation of default.

C0090 In the simulation, is there a

dependency among the defaults?

Select the category which is most suitable for the dependency of

default in the model. Options from a closed list:

,

- implicit (i.e. factor driven): The default is defined through

factors that have a dependency. More generally, there is an implicit dependency structure between the defaults.

- explicit (i.e. copula): The dependency among the defaults is

explicitly specified (e.g. through a copula). - No dependency: The defaults are independent.

C0100 Dependency among defaults:

Comment


modelling dependency among defaults.

C0110 On what does the recovery

rate/loss given default depend on

Select the category which is most suitable for recovery rate/loss

given default in the model. Options from a closed list:

- Country - Industrial sector - Other: Provide a brief description in the comment field

C0120. - Country and industrial sector - Country and other: Provide a brief description in the comment

field C0120.

C0120 Recovery rate/loss given default

rate: Comment

Provide concise complementary information to understand your recovery rate/loss given default modelling, in particular if the

answer in column C0110 contains “Other”.

C0130

What is the correlation coefficient

between NL/C&S and market risk module?

Provide a concise answer to the question.

C0140 Which is the aggregation

methodology between NL/C&S

and Market risk module?

Select the category which is most suitable for the aggregation of the SCR for NL/C&S and SCR for Market Risk. Options from a closed list

- Copula - SF-formula like

- Expert judgement - Other: Provide a brief description in cell C0150

- No aggregation

C0150 Aggregation between NL/C&S

and market risk module: Comment

Provide concise complementary information to understand your aggregation methodology between NL/C&S and the market risk module, in particular if the answer “Other” is selected.

C0160

Which is the aggregation

methodology between Premium and Reserve Risk?

Select the category which is most suitable for the aggregation of Premium and Reserve Risk for Credit and Suretyship. Options

from a closed list: - Copula

- SF-formula like - Expert judgement

- Other - No aggregation

C0170 Aggregation between Premium

and Reserve Risk: Comment

Provide concise complementary information to understand your aggregation methodology between premium and reserve risk for

Credit and Suretyship, in particular if the answer “Other” is selected.

C0180 Which is the aggregation

methodology within internal

LoB?

Select the category which is most suitable for the aggregation within the internal lines of business. Options from a closed list:

- Copula

,

- SF-formula like - Expert judgement

- Other - No aggregation

If different methodologies are applied for Premium, Reserve or aggregate, select other and provide the description in cell C0190.

C0190 Aggregation within internal LoB:

Comment

Provide concise complementary information to understand your aggregation methodology within the IntLoB, in particular if the answer “Other” is selected.

C0200

Which is the aggregation

methodology among internal LoB (within the scope of C&S model

and between C&S and other NL if

applicable)?

Select the category which is most suitable for the aggregation among the internal lines of business. Options from a closed list:

- Copula

- SF-formula like - Expert judgement - Other

- No aggregation

If different methodologies are applied for Premium, Reserve or

aggregate, select other and provide the description in cell C0210.

C0210 Aggregation among internal LoB:

Comment


aggregation methodology among the IntLoBs, in particular if the answer “Other” is selected.

C0220 Do you model expenses and/or

commissions explicitly?


- Yes - No - Other

C0230 Expenses and/or commissions:

Comment


modelling choice with respect to expenses and/or commisisons, in particular if the answer “Other” is selected.

C0240 Do you model the gross earned

premium explicitly?

Options from a closed list: - Yes

- No - Other

C0250 Modelling of gross earned

premium: Comment


modelling choice with respect to gross earned premiums, in particular if the answer “Other” is selected.

C0260 Do you model the variation of the

premium provision risk

explicitly?


- No - Other

C0270 Modelling variation of the

premium provision: Comment

Provide concise complementary information to understand your modelling choice with respect to the variation of the premium

provision, in particular if the answer “Other” is selected.

C0280 Do you notice any growth or seasonality regarding the total

exposure?


- Yes - No

- Other

,

C0290 Seasonality: Comment Provide concise complementary information to understand your answer with respect to the seasonality of the total exposure, in

particular if the answer “Other” is selected.

C0300

What is the number of calendar

years used to calibrate the model? Does it grow of 1 year each year

or is it like 15 sliding years?

Please differentiate by components of the model

(probability of default, loss given

default/recovery rate) if necessary.


Covid 19

C0310

Considering the distribution of losses evaluated at YE19 which should be an output of your IM,

which quantile is reached by your 2020 losses? Please make the

distinction gross and net of all reinsurance


C0320

According to your analysis, what is the return period of the 2020

economic crisis? Please make the

distinction gross and net of all reinsurance


Cat modelling

C0330 Is NatCat covered in this LoB?


- No - Other

C0340 Is MMCat covered in this LoB?


- Yes - No

- Other

C0350 Is NatCat modelled in this LoB?


- No - Other

C0360 NatCat modelling: Comment


modelling choice of NatCat, in particular if the answer “Other” is selected.

C0370 Is MMCat modelled in this LoB?


- No - Other

C0380 MMCat modelling: Comment Provide concise complementary information to understand your modelling choice of MMCat, in particular if the answer “Other” is

selected.

C0390 Is economic recession treated as

MMCat?


,

- Yes - No

- Other

C0400 Economic recession as MMCat:

Comment

Provide concise complementary information to understand your choice of considering or not economic recession as MMCat, in particular if the answer “Other” is selected.

C0410 Does the model allow contagion (simultaneous default of entities

of the same group) effect?


C0420

In the model, does a decrease in

trade volume during a crisis time lead to a strong decrease in

premium income?


C0430 Are strong increases of default caused by a crisis taken into

account in the model?


Documents

Contents · 2021. 3. 1. · Collection of general information for the exercise. This includes quantitative and qualitative information related to the submission, the undertaking,